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scientific article; zbMATH DE number 1867090
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scientific article; zbMATH DE number 1867090 |
Statements
2002
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fractional Brownian motions
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Black-Scholes formula
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option price
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European option, determinant
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trace
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Lie algebra
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0.96361685
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0.9319427
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0.92680126
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0.92658925
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0.91760623
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In the paper the stochachastic volatility model of E.~Stein and J.~Stein is extended to treat the long memory character of the volatility. It is proposed to model the volatility by a mean reverting Langevin equation driven by fractional Brownian motions. The risk-minimizing hedging price for European call options is obtained and its computation is discussed. For the entire collection see [Zbl 0988.00099].
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