Results 171 to 180 of about 11,331 (217)
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...
S. Reza Hejazi +3 more
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On hedging European options in geometric fractional Brownian motion market model
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.
E.Azmoodeh, Y.Mishura, E.Valkeila
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Pricing geometric Asian rainbow options under fractional Brownian motion
Physica A: Statistical Mechanics and its Applications, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Lu +4 more
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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, Yun-Xiu Zhang
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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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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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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 ...
Tae-Hun Kang, Minkyu Lee
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Physica A: Statistical Mechanics and its Applications, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Wei-Guo, Li, Zhe, Liu, Yong-Jun
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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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Advances and Applications in Statistics, 2020 Mohammed Alhagyan, Fuad Alduais
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