Nonparametric estimation of fractional option pricing model

DOI10.1155/2020/8858821MaRDI QIDQ826418zbMATH OpenOpenAlexFDO

Authors Qing Li, Songlin Liu, Misi Zhou

Publication date 4 January 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/8858821

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 2104212 (Why is no real title available?)
• A proof for French's empirical formula on option pricing.
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Hermite polynomial based expansion of European option prices
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Nonparametric risk management and implied risk aversion
• Option pricing in fractional Brownian markets
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• Option pricing with model-guided nonparametric methods
• The pricing of options and corporate liabilities

Cited in

(1)

• scientific article; zbMATH DE number 1124633 (Why is no real title available?)

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