Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model
Pricing of Securities
2022-10-28 v1 Probability
Abstract
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time and fractional Ornstein-Uhlenbeck process. Numerical simulations are given to illustrate the feasibility and operability of the approximation, and also demonstrate the effect of long-range on derivative prices.
Keywords
Cite
@article{arxiv.2210.15453,
title = {Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model},
author = {Yuecai Han and Xudong Zheng},
journal= {arXiv preprint arXiv:2210.15453},
year = {2022}
}