Option Pricing with Fractional Stochastic Volatilities and Jumps

Empirical studies suggest that asset price fluctuations exhibit “long memory”, “volatility smile”, “volatility clustering” and asset prices present “jump”. To fit the above empirical characteristics of the market, this paper proposes a fractional stochastic volatility jump-diffusion model by combini...

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Bibliographic Details

Published in:	Fractal and Fractional
Main Authors:	Sumei Zhang, Hongquan Yong, Haiyang Xiao
Format:	Article
Language:	English
Published:	MDPI AG 2023-09-01
Subjects:	fractional stochastic volatility fractional Riccati equation fractional Brownian motion jump option pricing
Online Access:	https://www.mdpi.com/2504-3110/7/9/680