Option pricing with regulated fractional Brownian motion

1998 ◽  
Vol 14 (4) ◽  
pp. 285-294
Author(s):  
F. Aldabe ◽  
G. Barone-Adesi ◽  
R. J. Elliott
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion

Option pricing under the fractional stochastic volatility model

2021 ◽  
Vol 63 ◽  
pp. 123-142
Author(s):  
Yuecai Han ◽  
Zheng Li ◽  
Chunyang Liu
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stochastic Volatility ◽  
Option Price ◽  
Stochastic Volatility Model ◽  
Option Prices ◽  
European Call Option ◽  
Volatility Model ◽  
The Impact

We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented. doi:10.1017/S1446181121000225

scholarly journals Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models

2014 ◽  
Vol 2014 ◽  
pp. 1-11
Author(s):  
Kaili Xiang ◽  
Yindong Zhang ◽  
Xiaotong Mao
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Financial Mathematics ◽  
Critical Issues ◽  
Option Pricing Model ◽  
Basic Hypothesis

Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models.

OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL

2021 ◽  
pp. 1-20
Author(s):  
Y. HAN ◽  
Z. LI ◽  
C. LIU
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stochastic Volatility ◽  
Option Price ◽  
Stochastic Volatility Model ◽  
Option Prices ◽  
European Call Option ◽  
Volatility Model ◽  
The Impact

Abstract We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented.

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