Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model that obeys fractional Ornstein-Uhlenbeck process.The method of estimation for all parameters (α, β, m, μ, H1, and H2) in this model is derived.We calculate...
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| Format: | Article |
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2016
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| author | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_facet | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_sort | Alhagyan, Mohammed |
| collection | UUM |
| description | This paper presents an enhanced model of geometric fractional Brownian motion where its volatility
is assumed to be stochastic volatility model that obeys fractional Ornstein-Uhlenbeck process.The method of estimation for all parameters (α, β, m, μ, H1, and H2) in this model is derived.We calculated the value of European call option using the estimates based on the methods of Masnita [1] [2] and Kukush [3], traditional Black-Scholes European option price, in addition to proposed model in order to make comparison study. |
| first_indexed | 2024-07-04T06:13:09Z |
| format | Article |
| id | uum-20350 |
| institution | Universiti Utara Malaysia |
| last_indexed | 2024-07-04T06:13:09Z |
| publishDate | 2016 |
| record_format | eprints |
| spelling | uum-203502016-12-15T04:40:17Z https://repo.uum.edu.my/id/eprint/20350/ Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing Alhagyan, Mohammed Misiran, Masnita Omar, Zurni QA75 Electronic computers. Computer science This paper presents an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model that obeys fractional Ornstein-Uhlenbeck process.The method of estimation for all parameters (α, β, m, μ, H1, and H2) in this model is derived.We calculated the value of European call option using the estimates based on the methods of Masnita [1] [2] and Kukush [3], traditional Black-Scholes European option price, in addition to proposed model in order to make comparison study. 2016 Article PeerReviewed Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2016) Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing. Open Access Library Journal, 03 (08). pp. 1-12. ISSN 2333-9721 http://doi.org/10.4236/oalib.1102863 doi:10.4236/oalib.1102863 doi:10.4236/oalib.1102863 |
| spellingShingle | QA75 Electronic computers. Computer science Alhagyan, Mohammed Misiran, Masnita Omar, Zurni Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title | Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title_full | Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title_fullStr | Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title_full_unstemmed | Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title_short | Geometric fractional Brownian motion perturbed by fractional Ornstein-Uhlenbeck process and application on KLCI option pricing |
| title_sort | geometric fractional brownian motion perturbed by fractional ornstein uhlenbeck process and application on klci option pricing |
| topic | QA75 Electronic computers. Computer science |
| work_keys_str_mv | AT alhagyanmohammed geometricfractionalbrownianmotionperturbedbyfractionalornsteinuhlenbeckprocessandapplicationonklcioptionpricing AT misiranmasnita geometricfractionalbrownianmotionperturbedbyfractionalornsteinuhlenbeckprocessandapplicationonklcioptionpricing AT omarzurni geometricfractionalbrownianmotionperturbedbyfractionalornsteinuhlenbeckprocessandapplicationonklcioptionpricing |