Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter

MaRDI QIDQ3068014zbMATHFDO

Authors

Publication date 13 January 2011

Full work available at URL http://pphmj.com/abstract/5207.htm

zbMATH Keywords

Ornstein-Uhlenbeck processstochastic differential equationfractional Brownian motionsingular perturbationBlack-Scholes equationstochastic integralEuropean call optionItô formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Singular perturbations in context of PDEs (35B25)

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Cited in

(12)

• Implied volatility under fractional stochastic volatility in Black-Scholes model
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
• Target volatility option pricing in the lognormal fractional SABR model
• Stochastic analysis of fractional Brownian motion and application to Black-Scholes market
• Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• Stochastic volatility corrections for bond pricing in the fractional Vasicek model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• Does the Hurst index matter for option prices under fractional volatility?
• Asymptotics for option pricing in stochastic volatility environment
• Almost sure and moment stability properties of fractional order Black-Scholes model
• A fractional version of the Heston model with Hurst parameter \(H \in (1/2, 1)\)

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