The sub-fractional CEV model

J 2021

The sub-fractional CEV model

ARANEDA, Axel Alejandro a Nils BERTSCHINGER

Základní údaje

Originální název

The sub-fractional CEV model

Autoři

ARANEDA, Axel Alejandro a Nils BERTSCHINGER

Vydání

Physica A: Statistical Mechanics and its Applications, AMSTERDAM (NETHERLANDS), ELSEVIER SCIENCE BV, 2021, 0378-4371

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

10300 1.3 Physical sciences

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 3.778

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/21:00124853

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

CEV model; Econophysics; Long-range dependence; Option pricing; Sub-fractional Brownian motion; Sub-fractional Fokker–Planck

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 30. 11. 2023 15:42, Mgr. Pavlína Kurková

Anotace

V originále

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.

Návaznosti

EF18_053/0016952, projekt VaV

Název: Postdoc2MUNI

Přiložené soubory

1-s2.0-S0378437121002466-main-5.pdf

Požádat o autorskou verzi souboru

Citovat

ARANEDA, Axel Alejandro a Nils BERTSCHINGER. The sub-fractional CEV model. Physica A: Statistical Mechanics and its Applications. AMSTERDAM (NETHERLANDS): ELSEVIER SCIENCE BV, 2021, roč. 573, July, s. 1-9. ISSN 0378-4371. Dostupné z: https://doi.org/10.1016/j.physa.2021.125974.

@article{1678115,
   author = {Araneda, Axel Alejandro and Bertschinger, Nils},
   article_location = {AMSTERDAM (NETHERLANDS)},
   article_number = {July},
   doi = {https://doi.org/10.1016/j.physa.2021.125974},
   keywords = {CEV model; Econophysics; Long-range dependence; Option pricing; Sub-fractional Brownian motion; Sub-fractional Fokker–Planck},
   language = {eng},
   issn = {0378-4371},
   journal = {Physica A: Statistical Mechanics and its Applications},
   title = {The sub-fractional CEV model},
   url = {https://doi.org/10.1016/j.physa.2021.125974},
   volume = {573},
   year = {2021}
}

TY  - JOUR
ID  - 1678115
AU  - Araneda, Axel Alejandro - Bertschinger, Nils
PY  - 2021
TI  - The sub-fractional CEV model
JF  - Physica A: Statistical Mechanics and its Applications
VL  - 573
IS  - July
SP  - 1-9
EP  - 1-9
PB  - ELSEVIER SCIENCE BV
SN  - 03784371
KW  - CEV model
KW  - Econophysics
KW  - Long-range dependence
KW  - Option pricing
KW  - Sub-fractional Brownian motion
KW  - Sub-fractional Fokker–Planck
UR  - https://doi.org/10.1016/j.physa.2021.125974
N2  - 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.
ER  -

ARANEDA, Axel Alejandro a Nils BERTSCHINGER. The sub-fractional CEV model. \textit{Physica A: Statistical Mechanics and its Applications}. AMSTERDAM (NETHERLANDS): ELSEVIER SCIENCE BV, 2021, roč.~573, July, s.~1-9. ISSN~0378-4371. Dostupné z: https://doi.org/10.1016/j.physa.2021.125974.

Přehled o publikaci