The Valuation of European Option Under Subdiffusive Fractional Brownian Motion of the Short Rate

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annif.suggestionsoptions (securities)|mathematical models|mathematics|stochastic processes|prices|security market|valuation|financial markets|parallel publishing|fractions|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p3416|http://www.yso.fi/onto/yso/p11401|http://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p15139|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p27097|http://www.yso.fi/onto/yso/p19541en
dc.contributor.authorShokrollahi, Foad
dc.contributor.departmentVebic-
dc.contributor.orcidhttps://orcid.org/0000-0003-1434-0949-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-11-25T06:34:16Z
dc.date.accessioned2025-06-25T12:42:35Z
dc.date.available2021-07-04T00:00:24Z
dc.date.issued2020-07-04
dc.description.abstractIn this paper, we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze European option in a fractional Black–Scholes environment, when the short rate follows the subdiffusive fractional Black–Scholes model. We derive a pricing formula for call and put options and discuss the corresponding fractional Black–Scholes equation. We present some features of our model pricing model for the cases of α and H.-
dc.description.notification© World Scientific Publishing Company, https://www.worldscientific.com/worldscinet/ijtaf.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.embargo.lift2021-07-04
dc.embargo.terms2021-07-04
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent16-
dc.format.pagerange1-16-
dc.identifier.olddbid13017
dc.identifier.oldhandle10024/11592
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/763
dc.identifier.urnURN:NBN:fi-fe2020112592953-
dc.language.isoeng-
dc.publisherWorld Scientific Publishing-
dc.relation.doi10.1142/S0219024920500223-
dc.relation.ispartofjournalInternational Journal of Theoretical and Applied Finance-
dc.relation.issn1793-6322-
dc.relation.issn0219-0249-
dc.relation.issue4-
dc.relation.urlhttps://doi.org/10.1142/S0219024920500223-
dc.relation.volume23-
dc.source.identifierWOS: 000557361500001-
dc.source.identifierScopus: 85090542111-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/11592
dc.subjectfractional Brownian motion-
dc.subjectMerton short rate model-
dc.subjectoption pricing-
dc.subjectsubdiffusive processes-
dc.subject.olddisciplineMathematical sciences-
dc.titleThe Valuation of European Option Under Subdiffusive Fractional Brownian Motion of the Short Rate-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

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