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

zbMATH Open1207.91065MaRDI QIDQ3068014FDOQ3068014

Authors:

Publication date: 13 January 2011

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

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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)

Cited In (10)

• Almost sure and moment stability properties of fractional order Black-Scholes model
• Target volatility option pricing in the lognormal fractional SABR model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• 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
• Asymptotics for option pricing in stochastic volatility environment
• Stochastic volatility corrections for bond pricing in the fractional Vasicek model
• 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 \([\frac{1}{2}, 1]\)

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