Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
type: Item
instance of: scholarly article
title: Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
zbMATH Open document ID: 1041.91038
DOI: 10.1016/S0960-0779(00)00028-X
author: Xiao-Tian Wang
author: Weiyuan Qiu
author: Fuyao Ren
published in: Chaos, Solitons and Fractals
publication date: 2003-04-28T00:00:00Z
review text: The fractional Brownian motions with the Hurst exponent H have been used to replace the standard Brownian motion in the Black-Scholes' pricing model by many authors to meet the real data in the security market. The authors of the present paper announce that the used approach for the option pricing of these model is no more valid when \(H < \frac{1}{2}\) and suggest to use two risk securities and an Ito-formula-like Taylor expansion to realize hedging and obtain the pricing PDE for the European call and put in the case of \( \frac{1}{3}<H < \frac{1}{2}\).
reviewed by: Gong Guanglu
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1901673
zbMATH Keywords: Option pricing
zbMATH Keywords: fractional version of Black-Scholes model
zbMATH Keywords: Hurst exponent
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Long-Term Memory in Stock Market Prices
cites work: Large deviation and self-similarity analysis of graphs: DAX stock prices
cites work: Q4848525
cites work: Q4165953
cites work: On the law of the iterated logarithm for Gaussian processes
full work available at URL: s0960-0779(00)00028-x
OpenAlex ID: W2087458835
description: scientific article; zbMATH DE number 1901673