APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL

DOI10.1017/s1446181123000202arXiv2210.15453OpenAlexW4392721586MaRDI QIDQ6204621

Yuecai Han, Unnamed Author

Publication date: 31 March 2024

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.15453

zbMATH Keywords

fractional Brownian motionstochastic volatilityderivatives pricing

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic analysis of the fractional Brownian motion
• Alternative models for stock price dynamics.
• Fractional {O}rnstein-{U}hlenbeck processes
• Extreme-strike asymptotics for general Gaussian stochastic volatility models
• A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• A General Fractional White Noise Theory And Applications To Finance
• Volatility is rough
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Pricing under rough volatility
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes

This page was built for publication: APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL