Results 161 to 170 of about 11,121 (220)
Pricing geometric asian power options in the sub-fractional brownian motion environment
Chaos, Solitons & Fractals, 2021 Abstract This paper aims of obtaining the closed form expressions for the prices of the geometric Asian options and power options when the payoff function is a power function. After discussing the option pricing in the sub-fractional Brownian motion environment, by the fractional It o ^ formula which is based on the theory of stochastic ...
Wei Wang, Guanghui Cai, Xiangxing Tao
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ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL
Far East Journal of Mathematical Sciences (FJMS), 2015 This article is aimed at to derive geometric fractional Brownian motion where its volatility follow long memory stochastic volatility model, in particular the fractional Ornstein-Uhlenbech process. The innovation algorithm is utilized to simplify such derivation. A simple case of is calculated to illustrate the calculation to accompany this derivation.
Mohammed Alhagyan
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On hedging European options in geometric fractional Brownian motion market model [PDF]
Statistics & Decisions, 2009 Summary: We work with fractional Brownian motion with Hurst index H > 1 . We show that the pricing model based on geometric fractional Brownian motion behaves to certain extend as a process with bounded variation. This observation is based on a new change of variables formula for a convex function composed with fractional Brownian motion.
Ehsan Azmoodeh +2 more
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Advances and Applications in Statistics, 2020 This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived.
Mohammed Alhagyan +2 more
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Parameter identification for the discretely observed geometric fractional Brownian motion
Journal of Statistical Computation and Simulation, 2013 This paper deals with the problem of estimating all the unknown parameters of geometric fractional Brownian processes from discrete observations. The estimation procedure is built upon the marriage of the quadratic variation and the maximum likelihood approach. The asymptotic properties of the estimators are provided.
Weilin Xiao, Weiguo Zhang, Xili Zhang
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Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
Physica A: Statistical Mechanics and its Applications, 2020 Abstract We deal with the pricing of geometric Asian rainbow options under the mixed fractional Brownian motion. Based on standard no arbitrage arguments, we obtain a partial differential problem in several independent variables, which we solve by employing suitable changes of variables and analytical results derived in Bos and Ware (2001) and Stulz (
Davood Ahmadian, Luca Vincenzo Ballestra
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International Journal of Financial Engineering, 2018 In this paper, the transition joint probability density function of the solution of geometric Brownian motion (GBM) equation is obtained via Lie group theory of differential equations (DEs). Lie symmetry analysis is applied to find new solutions for time-fractional Fokker–Planck–Kolmogorov equation of GBM.
Azadeh Naderifard +2 more
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