$Fractional black-scholes models: complete mle with application to fractional option pricing$
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Fractional black-scholes models: complete mle with application to fractional option pricing

Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Brownian motion that is widely used for Black-Scholes option pricing. By considering GFBM, we are now able to capture the memory dependency. This method will enable us to derive the estimators of the drift,...

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Bibliographic Details
Main Authors:	Misiran, Masnita, Lu, Z., Teo, Kok Lay
Other Authors:	Honglei Xu
Format:	Conference Paper
Published:	Guizhou University 2010
Subjects:	maximum likelihood estimation option pricing long memory geometric fractional Brownian motion
Online Access:	http://hdl.handle.net/20.500.11937/37460

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