The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
Abstract Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms. Besides, we propose to price the vu...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2019-08-01
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| Series: | Journal of Inequalities and Applications |
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| Online Access: | http://link.springer.com/article/10.1186/s13660-019-2158-8 |
| _version_ | 1818526395675967488 |
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| author | Yan Dong |
| author_facet | Yan Dong |
| author_sort | Yan Dong |
| collection | DOAJ |
| description | Abstract Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms. Besides, we propose to price the vulnerable option with the discretization method and present the results using a Monte Carlo simulation. |
| first_indexed | 2024-12-11T06:22:24Z |
| format | Article |
| id | doaj.art-a5833c496a604b21951c9940eb633fcc |
| institution | Directory Open Access Journal |
| issn | 1029-242X |
| language | English |
| last_indexed | 2024-12-11T06:22:24Z |
| publishDate | 2019-08-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Journal of Inequalities and Applications |
| spelling | doaj.art-a5833c496a604b21951c9940eb633fcc2022-12-22T01:17:47ZengSpringerOpenJournal of Inequalities and Applications1029-242X2019-08-012019111710.1186/s13660-019-2158-8The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable optionsYan Dong0Department of Basic, Shaanxi Railway InstituteAbstract Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms. Besides, we propose to price the vulnerable option with the discretization method and present the results using a Monte Carlo simulation.http://link.springer.com/article/10.1186/s13660-019-2158-8Mixed fractional constant elasticity of variance modelStrong solutionExistenceUniquenessContinuity |
| spellingShingle | Yan Dong The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options Journal of Inequalities and Applications Mixed fractional constant elasticity of variance model Strong solution Existence Uniqueness Continuity |
| title | The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| title_full | The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| title_fullStr | The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| title_full_unstemmed | The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| title_short | The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| title_sort | continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options |
| topic | Mixed fractional constant elasticity of variance model Strong solution Existence Uniqueness Continuity |
| url | http://link.springer.com/article/10.1186/s13660-019-2158-8 |
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