The sub-fractional CEV model
نویسندگان
چکیده
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 (Bm) fractional (fBm). mixed linear combination Bm independent sfBm, called (msfBm), keeps features of sfBm adding semi-martingale property for H>3∕4, suitable candidate to use price fluctuation modeling, particular option pricing. In this note, we arrive at European Call under Constant Elasticity Variance (CEV) model driven motion. Empirical tests show capacity proposed capture temporal structure prices across different maturities.
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ژورنال
عنوان ژورنال: Physica D: Nonlinear Phenomena
سال: 2021
ISSN: ['1872-8022', '0167-2789']
DOI: https://doi.org/10.1016/j.physa.2021.125974