1
title:Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model
source:Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 3, 1 February 2010, Pages 438-444
author:Xiao-Tian Wang
2
title:Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs
Source:Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 3, 1 February 2010, Pages 452-458
authors:Xiao-Tian Wang, Hai-Gang Yan, Ming-Ming Tang, En-Hui Zhu

3
title:Fractal asset returns, arbitrage and option pricing
source:Chaos, Solitons & Fractals, Volume 42, Issue 3, 15 November 2009, Pages 1792-1795
author:Petrus H. Potgieter