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Cogent Mathematics & Statistics Volume 5, 2018 - Issue 1

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Research Article

Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs

Foad ShokrollahiDepartment of Mathematics and Statistics, University of Vaasa, P.O. Box 700, FIN-65101Vaasa, FinlandCorrespondence[email protected]
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Carlo CattaniUniversity of Tuscia, ItalyView further author information

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Article: 1470145 | Received 16 Nov 2017, Accepted 24 Apr 2018, Published online: 26 Jun 2018

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https://doi.org/10.1080/25742558.2018.1470145
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FOAD SHOKROLLAHI. (2020) THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE. International Journal of Theoretical and Applied Finance 23:04, pages 2050022.
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