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Asian option pricing under sub-fractional vasicek model
Quantitative Finance and Economics, 2023 This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model.
Lichao Tao +3 more
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Discrete Dynamics in Nature and Society, 2021 Since the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of
Hong Fan, Lingli Feng, Ruoyu Zhou
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Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach [PDF]
, 2020 A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving average cluster ...
Carbone, Anna +2 more
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Topological Subordination in Quantum Mechanics
Fractal and Fractional, 2023 An example of non-Markovian quantum dynamics is considered in the framework of a geometrical (topological) subordination approach. The specific property of the model is that it coincides exactly with the fractional diffusion equation, which describes the
Alexander Iomin +2 more
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Unraveling trajectories of diffusive particles on networks
Physical Review Research, 2022 The analysis of single-particle trajectories plays an important role in elucidating dynamics within complex environments such as those found in living cells.
Yunhao Sun +5 more
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The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
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Large deviations for rough paths of the fractional Brownian motion [PDF]
, 2004 Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$ given by Coutin and Qian (2002), we prove a large deviation principle in the space of geometric rough paths ...
Millet, Annie, Sanz-Solé, Marta
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Surveying the best volatility measurements to forecast stock market [PDF]
, 2017 This paper investigates methods to forecast future adjusted price of S&P 500 by using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) for better investment decision.
Alhagyan, Mohammed +2 more
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Large Deviation Principle for Enhanced Gaussian Processes [PDF]
, 2006 We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths.
Friz, Peter, Victoir, Nicolas
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Fractional Brownian motion with a reflecting wall [PDF]
, 2018 Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion.
Vojta, Thomas, Wada, Alexander H. O.
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