Arbitrage opportunities in sub-fractional Black-Scholes model

Xiao, Weilin; Zhou, Qing; Wu, Weixing

doi:10.1360/ssm-2020-0156

Sci. Sin.-Math.

2021

DOI: 10.1360/ssm-2020-0156

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Arbitrage opportunities in sub-fractional Black-Scholes model

Weilin Xiao¹,

Qing Zhou²,

Weixing Wu³

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2023

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Asian option pricing under sub-fractional vasicek model

Tao,

Lai,

et al. 2023

QFE

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<abstract><p>This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {\rm{It\hat o}} $ formula, the Black-Scholes (B-S) type Partial Differential Equations (PDE) to Asian geometric average option is derived by Delta hedging principle. Moreover, the explicit pricing formula for Asian options is obtained through converting the PDE to the Cauchy problem. Numerical experiments are conducted to test the impact of the stock price, the Hurst index, the speed of interest rate adjustment, and the volatilities and their correlation for the Asian option and the interest rate model, respectively. The results show that the main parameters such as Hurst index have a significant influence on the price of Asian options.</p></abstract>

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Asian option pricing under sub-fractional vasicek model

Tao,

Lai,

et al. 2023

QFE

View full text Add to dashboard Cite

show abstract

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Arbitrage opportunities in sub-fractional Black-Scholes model

Cited by 1 publication

References 32 publications

Asian option pricing under sub-fractional vasicek model

Asian option pricing under sub-fractional vasicek model

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