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arXiv · 2210.15453

Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model

Yuecai Han·Xudong Zheng
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Abstract

We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time and fractional Ornstein-Uhlenbeck process. Numerical simulations are given to illustrate the feasibility and operability of the approximation, and also demonstrate the effect of long-range on derivative prices.

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Yuecai Han, Xudong Zheng. 2022-10-21. Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. https://arxiv.org/abs/2210.15453

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