Blar i BI Open på forfatter "Paulshus, Ove"
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An empirical application of Black and Scholes option pricing with fractional Brownian motion
Ramic, Armin; Paulshus, Ove (Master thesis, 2018)This thesis examines the empirical properties of a fractional Black and Scholes model developed by Röstek and Schobel. The model is tested and compared to the standard Black and Scholes for Standard and Poor’s 500 call ...