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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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2023-09-01
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| Series: | Fractal and Fractional |
| Assuntos: | |
| Acceso en liña: | https://www.mdpi.com/2504-3110/7/9/680 |
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