A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
Work
Year: 2018
Type: article
Institution University of Guilan
Cites: 29
Cited by: 8
Related to: 10
FWCI: 0.823
Citation percentile (by year/subfield): 83.16
Subfield: Finance
Domain: Social Sciences
Open Access status: closed