Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility
Li Meng and
Mei Wang ()
Asia-Pacific Financial Markets, 2010, vol. 17, issue 2, pages 99-111
Keywords: Fractional Black–Scholes; Volatility; AMSE; Foreign exchange option (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:17:y:2010:i:2:p:99-111
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