Option pricing in fractional models

MaRDI QIDQ5243718zbMATH OpenFDO

Authors Foad Shokrollahi

Publication date 19 November 2019

Full work available at URL https://osuva.uwasa.fi/bitstream/handle/10024/8191/978-952-476-870-2.pdf?sequence=2&isAllowed=y, http://urn.fi/URN:ISBN:978-952-476-870-2

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(12)

• Call option pricing and replication under economic friction
• Mixed fractional Heston model and the pricing of American options
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Fractional Black-Scholes model and technical analysis of stock price
• Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
• Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
• Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs
• scientific article; zbMATH DE number 6520216 (Why is no real title available?)
• scientific article; zbMATH DE number 1254193 (Why is no real title available?)
• Target volatility option pricing in the lognormal fractional SABR model
• Fractional-moment capital asset pricing model
• Pricing Options Under Time-Fractional Model Using Adomian Decomposition

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