Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)

DOI10.1016/J.PHYSA.2019.122690MaRDI QIDQ2164565zbMATH OpenOpenAlexFDO

Authors E. Dastranj, Hossein Sahebi Fard, Abdolmajid Abdolbaghi, S. Reza Hejazi

Publication date 15 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122690

zbMATH Keywords

fast Fourier transformfractional Brownian motionfractional Heston modelparameter estimationpower option pricing

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A fractional version of the Heston model with Hurst parameter H (1/2, 1)
• A new method for option pricing via time-fractional PDE
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Critical value-based Asian option pricing model for uncertain financial markets
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 2133811 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker-Planck equations for special stochastic process in foreign exchange markets
• Option pricing under the double stochastic volatility with double jump model
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Pricing vulnerable options with stochastic volatility
• Symmetry operators and exact solutions of a type of time-fractional Burgers-KdV equation

Cited in

(3)

• Exact solutions and numerical simulation for Bakstein-Howison model
• A novel fractional stochastic model equipped with -Caputo fractional derivative in a financial market
• A general approximate computational framework for basket spread options pricing with and without default risk

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