OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL

被引：4

作者：

Han, Y. ^{[1
]}

Li, Z. ^{[1
]}

Liu, C. ^{[1
]}

机构：

[1] Jilin Univ, Sch Math, Changchun 130012, Peoples R China

来源：

ANZIAM JOURNAL | 2021年 / 63卷 / 02期

基金：

美国国家科学基金会;

关键词：

fractional Brownian motion; stochastic volatility; Malliavin calculus; option pricing; ARBITRAGE; LEVERAGE; RETURNS; JUMPS;

D O I：

10.1017/S1446181121000225

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 Ito'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.

引用

页码：123 / 142

页数：20

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