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, 99-111

Keywords: Fractional Black–Scholes; Volatility; AMSE; Foreign exchange option (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10690-009-9102-8

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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