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Jin-Rong Liang, Jun Wang, Wen-Jun Zhang, Wei-Yuan Qiu, Fu-Yao Ren. Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent H in [1/2, 1]. Appl. Math. Lett., 23(8):859-863, 2010. [doi]
Abstract is missing.