Nonparametric estimation of fractional option pricing model

DOI10.1155/2020/8858821zbMATH Open1459.91194OpenAlexW3111270742MaRDI QIDQ826418FDOQ826418

Authors: Qing Li, Songlin Liu, Misi Zhou 

Publication date: 4 January 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/8858821

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Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) 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)

Cites Work

• The pricing of options and corporate liabilities
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• Fractional Brownian Motions, Fractional Noises and Applications
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• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Nonparametric risk management and implied risk aversion
• Option pricing with model-guided nonparametric methods
• Hermite polynomial based expansion of European option prices
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• Option pricing in fractional Brownian markets
• A proof for French's empirical formula on option pricing.

Cited In (1)

• Title not available (Why is that?)

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