Results 171 to 180 of about 11,121 (220)

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

Physica A: Statistical Mechanics and its Applications, 2012
Abstract This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black–Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is ...
Hui Gu, Jin-Rong Liang, Yunxiu Zhang
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Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion

Stochastics, 2018
ABSTRACTIn this paper, we investigate asymptotic behaviour for rates of discrete time hedging errors in models with respect to geometric fractional Brownian motion with Hurst parameter H>12.
Wensheng Wang
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Pricing Geometric Asian Options under Mixed Fractional Brownian Motion Environment with Superimposed Jumps

Calcutta Statistical Association Bulletin, 2018
It has been observed that the stock price process can be modelled with driving force as a mixed fractional Brownian motion (mfBm) with Hurst index [Formula: see text] whenever long-range dependence is possibly present. We propose a geometric mfBm model for the stock price process with possible jumps superimposed by an independent Poisson process.
Б. Л. С. Пракаса Рао
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Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al.

Physica A: Statistical Mechanics and its Applications, 2013
Abstract The purpose of this comment is to point out the inappropriate assumption of “ 3 α H > 1 ” and two problems in the proof of “Theorem 3.1” in section 3 of the paper “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al. [H. Gu, J.R. Liang, Y. X.
Zhidong Guo, Yukun Song, Yunliang Zhang
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The Delta-Hedging Usefulness of Option Pricing Model which Assumes that the Underlying Asset Price follows a Geometric Fractional Brownian Motion

Journal of Industrial Economics and Business, 2017
본 연구는 기초자산의 수익률생성과정을 기하분수브라운운동으로 가정하는 옵션가격결정모형의 델타헤징 유용성을 실증적으로 고찰하였다. 분수브라운운동은 Hurst지수(H)를 통해 브라운운동의 무작위성뿐만 아니라 시계열의 기억속성을 반영할 수 있다. 그러나 이를 델타헤징에 적용하기 위해서는 과적합의 가능성을 최소화하는 것이 중요한데, Hu and Oksendal(2003) 모형은 차익거래기회를 배제할 수 있고 비교적 단순한 폐쇄형의 가격결정공식을 가진다. 본 연구에서, 옵션델타의 추정은 내재정보만을 이용하거나 내재정보와 과거정보를 동시에 이용하였으며 비교모형으로는 Black and Scholes(1973) 모형(BS)과 변동성구조를 ...
Taehun Kang, Min‐Kyu Lee
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FORECASTING THE PERFORMANCE OF TADAWUL ALL SHARE INDEX (TASI) USING GEOMETRIC BROWNIAN MOTION AND GEOMETRIC FRACTIONAL BROWNIAN MOTION

Advances and Applications in Statistics, 2020
Mohammed Alhagyan, Fuad S. Alduais
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The Effect of the Hurst Parameter on Value at Risk Estimation in Fractional Geometric Brownian motion Price Simulation

International Journal of Research and Innovation in Social Science
This study assessed the impact of the Hurst parameter on the accuracy of Value at Risk (VaR) estimation using fractional Geometric Brownian motion (fGBM) for stock price simulation. The fGBM model, known for its ability to capture long-term memory in financial time series, was employed to simulate stock prices with varying Hurst parameters.
Tendayi Matina, Edmore Mangwende
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Information geometric characterization of the complexity of fractional Brownian motions

Journal of Mathematical Physics, 2012
The complexity of the fractional Brownian motions is investigated from the viewpoint of information geometry. By introducing a Riemannian metric on the space of their power spectral densities, the geometric structure is achieved. Based on the general construction, for an example, whose power spectral density is obtained by use of the normalized Mexican
Guoquan Xu, Linyu Peng, Huafei Sun
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Pricing geometric Asian rainbow options under fractional Brownian motion

Physica A: Statistical Mechanics and its Applications, 2018
Abstract In this paper, we explore the pricing of the assets of Asian rainbow options under the condition that the assets have self-similar and long-range dependence characteristics. Based on the principle of no arbitrage, stochastic differential equation, and partial differential equation, we obtain the pricing formula for two-asset rainbow options ...
Yang Su, Rong Zhang, Lin Yang, Feng Ma, Lu Wang   +4 more
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Numerical approximations for time-fractional Fokker-Planck-Kolmogorov equation of geometric Brownian motion

Journal of Interdisciplinary Mathematics, 2020
The transition joint probability density function of the solution of geometric Brownian motion equation is presented by a deterministic parabolic time-fractional PDE (FPDE), named time-fractional F...
Elham Dastranj, Elham Lashkarian, S. Reza Hejazi, Noora Habibi   +3 more
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