The Effectiveness of a Predictor-corrector Technique in European Currency Option Valuation
In this work, we adopt a predictor-corrector technique to examine the accuracy of the Fractional Black-Scholes (FBS) model. Compared to the standard Black-Scholes (B-S) model, FBS model involves one additional parameter, a Hurst value (H) providing information whether the time series exhibits persis...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2019-12-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20200110192250-BQOA3.pdf |