Nonparametric estimation of fractional option pricing model

DOI10.1155/2020/8858821zbMath1459.91194OpenAlexW3111270742MaRDI QIDQ826418

Qing Li, Misi Zhou, Songlin Liu

Publication date: 4 January 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/8858821

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
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• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Option Pricing With Model-Guided Nonparametric Methods
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Fractional Brownian Motions, Fractional Noises and Applications

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