The sub-fractional CEV model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00124853" target="_blank" >RIV/00216224:14560/21:00124853 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.physa.2021.125974" target="_blank" >https://doi.org/10.1016/j.physa.2021.125974</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2021.125974" target="_blank" >10.1016/j.physa.2021.125974</a>

Result language
angličtina
Original language name
The sub-fractional CEV model
Original language description
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependence, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm). The mixed process, a linear combination between a Bm and an independent sfBm, called mixed sub-fractional Brownian motion (msfBm), keeps the features of the sfBm adding the semi-martingale property for H>3/4, is a suitable candidate to use in price fluctuation modeling, in particular for option pricing. In this note, we arrive at the European Call price under the Constant Elasticity of Variance (CEV) model driven by a mixed sub-fractional Brownian motion. Empirical tests show the capacity of the proposed model to capture the temporal structure of option prices across different maturities.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10300 - Physical sciences

Project
<a href="/en/project/EF18_053%2F0016952" target="_blank" >EF18_053/0016952: Postdoc2MUNI</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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