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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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2023-09-01
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| Серія: | Fractal and Fractional |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2504-3110/7/9/680 |
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