OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL

DOI10.1017/S1446181121000225zbMath1475.91357OpenAlexW3193574981MaRDI QIDQ5158749

Zheng Li, Yuecai Han, Chunyang Liu

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000225

zbMATH Keywords

fractional Brownian motionstochastic volatilityMalliavin calculusoption pricing

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS

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