The sub-fractional Brownian motion (sfBm) could be considered as the intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm). By the way, subfractional diffusion is a candidate to describe stochastic processes with long-range dependence and non-stationarity in their increments . In this note, we use sfBm for financial modeling. In particular, we extend the results provided by Araneda Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics, 363:106-123, 2020%DIFDELCMD < ] %%% arriving at the option pricing under the sub-fractional CEVmodel .
The sub-fractional Brownian motion is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm). The mixed process, a linear combination between a Bm and an independent sfBm, called mixed sub-fractional Brownian motion (msfBm), keeps the features of the sfBm adding the semi-martingale property for H>3/4, is a suitable candidate to use in price fluctuation modeling, in particular for option pricing . In this note, we %DIFDELCMD < ] %%% arrive at the European Call price under the consider the Constant Elasticity of Variance (CEV) model driven by a mixed sub-fractional Brownian motion .
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(sfBm) could be considered as the
is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an
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By the way, subfractional diffusion is a candidate to describe stochastic processes with long-range dependence and non-stationarity in their increments
The mixed process, a linear combination between a Bm and an independent sfBm, called mixed sub-fractional Brownian motion (msfBm), keeps the features of the sfBm adding the semi-martingale property for H>3/4, is a suitable candidate to use in price fluctuation modeling, in particular for option pricing
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use sfBm for financial modeling. In particular, we extend the results provided by Araneda
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Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics, 363:106-123, 2020
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arriving at the option pricing under the sub-fractional CEVmodel
arrive at the European Call price under the consider the Constant Elasticity of Variance (CEV) model driven by a mixed sub-fractional Brownian motion