ELS pricing and hedging in a fractional Brownian motion environment

DOI10.1016/j.chaos.2020.110453zbMath1496.91086OpenAlexW3104788851MaRDI QIDQ2128261

Hyun-Gyoon Kim, Jeong-Hoon Kim, Seong-Tae Kim

Publication date: 21 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110453

zbMATH Keywords

fractional Brownian motioncalibrationpricingdelta hedgingequity-linked security

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Distribution of Realized Exchange Rate Volatility
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders
• Deep hedging
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications

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