The family of GARCH European option pricing model under the fractional Brownian motion with time-varying Hurst index

SHI Yongdong, CHENG Hang, WANG Guangtao

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (10) : 2527-2538.

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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (10) : 2527-2538. DOI: 10.12011/1000-6788(2017)10-2527-12

The family of GARCH European option pricing model under the fractional Brownian motion with time-varying Hurst index

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2017, 37(10): 2527-2538 https://doi.org/10.12011/1000-6788(2017)10-2527-12

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