The fractional and mixed-fractional CEV model

DOI10.1016/j.cam.2019.06.006zbMath1422.91677arXiv1903.05747OpenAlexW2922189574MaRDI QIDQ2315921

Axel A. Araneda

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.05747

zbMATH Keywords

fractional Brownian motionCEV modelfractional Fokker-PlanckFeller's processfractional Itô's calculus

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (4)

On the Discrete-Time Simulation of the Rough Heston Model ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ CEV model equipped with the long-memory ⋮ The sub-fractional CEV model

Uses Software

• DLMF

Cites Work

• The Pricing of Options and Corporate Liabilities
• On convergence of Laplace inversion for the American put option under the CEV model
• Pricing equity default swaps under the jump-to-default extended CEV model
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