Work

Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations

Year: 2023

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2023.102017

Author: Tamirat Temesgen Dufera

Institution: Adama Science and Technology University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4387443218

FWCI: 3.571

Cites: 33

Cited by: 20

Related to: 10