The sub-fractional CEV model

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The sub-fractional CEV model

Popis výsledku v původním jazyce

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&gt;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.

Název v anglickém jazyce

The sub-fractional CEV model

Popis výsledku anglicky

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&gt;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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10300 - Physical sciences

Projekt

<a href="/cs/project/EF18_053%2F0016952" target="_blank" >EF18_053/0016952: Postdoc2MUNI</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

573

Číslo periodika v rámci svazku

July

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

9

Strana od-do

1-9

Kód UT WoS článku

000642339400045

EID výsledku v databázi Scopus

2-s2.0-85103789339