Sub-mixed fractional Brownian motionOption pricingImplied volatilityDeep learningArtificial intelligence algorithmAgainst the background of the current complex international geopolitical situation and more intense trade frictions, the volatility of financial assets has important research signifi...
RFBM lead to valuation formulas similar to Black–Scholes, but with volatility increasing with time to maturity. The arbitrage problem of fractional Brownian motion is removed. Copyright ? 1998 John Wiley & Sons, Ltd.关键词: option pricing fractional Brownian motion martingale ...
In this article we will explore simulation ofBrownian Motions, one of the most fundamental concepts in derivatives pricing. Brownian Motion is a mathematical model used to simulate the behaviour of asset prices for the purposes of pricing options contracts. A typical means of pricing such options o...
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion Modern option pricing techniques are often considered among the most mathematical complex of all applied areas of financial mathematics. In particular, the... ZJ Mao,ZA Liang - 《Journal of Mathematical Finance》 被引量: 1...
Brownian motion plays a crucial role in the derivation of option prices. This appendix provides the reader with some elementary tools in probability crucial to understanding option pricing studies. Here, we aim to provide an intuitive discussion leaving it to the more mathematically inclined readers ...
Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments sh...
The double fractional Brown motion is independent and stable incrementally,which is more consistent with the display situation. Compared with the option pricing formula based on fractional Brownian motion,fractional Brownian motion is only a special case of double-fractional Brownian motion,which can be...
The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Weiner space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed...
The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Weiner space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed...
The empirical results indicate that the proposed pricing model is reasonable and can be treated as a reference pricing tool for financial analysts or investors. 展开 关键词: Fuzzy stochastic differential equation Mixed fractional Brownian motion European option pricing Fuzzy jump-diffusion Interpolation ...