Option pricing for a jump diffusion model with fractional stochastic volatility

MaRDI QIDQ4581812zbMATH OpenFDO

Authors Pairote Sattayatham, Arthit Intarasit

Publication date 21 August 2018

Full work available at URL http://www.math.sci.nu.ac.th/ojs302/index.php/jnao/article/view/14

zbMATH Keywords

approximate approachfractional Brownian motionjump diffusion modelstochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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