Price Modelling under Generalized Fractional Brownian Motion

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00140146" target="_blank" >RIV/00216224:14560/24:00140146 - isvavai.cz</a>
Alternative codes found
RIV/00216224:14560/24:00140164
Result on the web
<a href="https://www.degruyterbrill.com/document/doi/10.1515/9783110987584-013/html" target="_blank" >https://www.degruyterbrill.com/document/doi/10.1515/9783110987584-013/html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/9783110987584-013" target="_blank" >10.1515/9783110987584-013</a>

Result language
angličtina
Original language name
Price Modelling under Generalized Fractional Brownian Motion
Original language description
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we study its use as the main driver for price fluctuations, replacing the standard Brownian motion in the well-known Black-Scholes model. By the derivation of the generalized fractional Ito’s lemma and the related effective Fokker-Planck equation, we discuss its application to both the option pricing problem valuing European options, and the computation of Value-at-Risk and Expected Shortfall. Moreover, the option prices are computed for a CEV-type model driven by gfBm.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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