Estimating dynamic geometric fractional Brownian motion and its application to long-memory option pricing

zbMATH Open1306.62193MaRDI QIDQ2869760FDOQ2869760

Authors Masnita Misiran, Grace Aw, Zudi Lu, Kok Lay Teo

Publication date 3 January 2014

Published in Dynamic Systems and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Proactive hedging European call option pricing with linear position strategy
• Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Dynamic hedging based on fractional order stochastic model with memory effect
• Pricing credit derivatives under fractional stochastic interest rate models with jumps

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