Fractal CEV Model and Monte Carlo Simulation
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F830

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    Abstract:

    By using fractional Brownian motion to replace geometric Brownian motion, the efficient market hypothesis is generalized hypothesis. provided to as fractal market hypothesis. A fractal CEV model is proposed, which is based on the fractal market Meanwhile, the optional pricing formula obeying the fractal CEV model is derived. Monte Carlo simulation is overcome the difficulty to get analytical solutions of the optional pricing equation.

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车韧,何传江,姚梅.分形CEV模型及其蒙特卡罗模拟[J].重庆大学学报,2007,30(11):148~151

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  • Received:
  • Revised:June 17,2007
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