Fractal Scaling and Black-Scholes: the full story. A new view of long range dependence in stock prices

Heyde, C C; Liu, Shuangzhe; Gay, R

Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Fractal Scaling and Black-Scholes: the full story. A new view of long range dependence in stock prices

Date

2001

Authors

Heyde, C C

Liu, Shuangzhe

Gay, R

Publisher

Financial Services Institute of Australasia

URI

http://hdl.handle.net/1885/93138

Collections

Open Access Research

Source

Journal of the Australian Society of Security Analysts (JASSA)

Type

Journal article

Full item page

Cultural advice

Fractal Scaling and Black-Scholes: the full story. A new view of long range dependence in stock prices

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

Keywords

Citation

URI

Collections

Source

Type

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until