Option pricing under the fractional stochastic volatility model
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Publication:5158749
DOI10.1017/S1446181121000225zbMATH Open1475.91357OpenAlexW3193574981MaRDI QIDQ5158749FDOQ5158749
Authors: Yuecai Han, Zheng Li, 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
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)
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Cited In (37)
- European option pricing with stochastic volatility in sub-fractional Brownian motion environment
- Nonparametric estimation of fractional option pricing model
- Mellin transform method for European option pricing under sub-fractional stochastic interest rate model
- Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model
- Title not available (Why is that?)
- A weighted-fractional model to European option pricing
- An empirical study on using Hurst exponent estimation methods for pricing call options by fractional Black-Scholes model
- Target volatility option pricing in the lognormal fractional SABR model
- Title not available (Why is that?)
- A possible way of estimating options with stable distributed underlying asset prices
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- Option pricing under the KoBol model
- European option pricing problems with fractional uncertain processes
- An accurate European option pricing model under fractional stable process based on Feynman path integral
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation
- European pricing options under jump-fraction process in the fractional Hull-White interest rate model
- Option pricing under default risk based on fractional Ho-Lee stochastic interest rate model
- The valuation of European option under subdiffusive fractional Brownian motion of the short rate
- AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
- Option pricing under double Heston model with approximative fractional stochastic volatility
- Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
- APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL
- Option pricing for a jump diffusion model with fractional stochastic volatility
- Mixed fractional Heston model and the pricing of American options
- An American binary option pricing in a fractional Black-Scholes model
- Pricing European and American options under fractional model
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- Delta-hedging in fractional volatility models
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- Option pricing under the subordinated market models
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
- Does the Hurst index matter for option prices under fractional volatility?
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