Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth

DOI10.1007/s11009-018-9650-3zbMath1411.91542arXiv1607.07392OpenAlexW2963942522WikidataQ129414836 ScholiaQ129414836MaRDI QIDQ1739388

Viktor Bezborodov, Luca Di Persio, Yuliya S. Mishura

Publication date: 26 April 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.07392

zbMATH Keywords

discretizationrate of convergencepolynomial growthWiener processstochastic volatilityMalliavin calculusoption pricingconditioningBlack-Scholes modelSkorokhod integralstochastic derivativediscontinuous payoff function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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