ELS pricing and hedging in a fractional Brownian motion environment

DOI10.1016/J.CHAOS.2020.110453zbMATH Open1496.91086OpenAlexW3104788851MaRDI QIDQ2128261FDOQ2128261

Authors: Seong-Tae Kim, Hyun-Gyoon Kim, Jeong-Hoon Kim 

Publication date: 21 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110453

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zbMATH Keywords

calibrationfractional Brownian motionpricingdelta hedgingequity-linked security

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The Distribution of Realized Exchange Rate Volatility
• Fractional Brownian Motions, Fractional Noises and Applications
• Arbitrage in fractional Brownian motion models
• Arbitrage with Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• A fractional calculus interpretation of the fractional volatility model
• A General Fractional White Noise Theory And Applications To Finance
• Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
• Fractional Brownian motion in a nutshell
• Deep hedging
• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
• Hedge and speculate: replicating option payoffs with limit and market orders

Cited In (1)

• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge

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