An Option Pricing Model With Memory
نویسندگان
چکیده
منابع مشابه
Long memory stochastic volatility in option pricing
The aim of this paper is to present a stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the ...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2017
ISSN: 0973-9599
DOI: 10.31390/cosa.11.4.07