Fractional black-scholes models: complete mle with application to fractional option pricing
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Brownian motion that is widely used for Black-Scholes option pricing. By considering GFBM, we are now able to capture the memory dependency. This method will enable us to derive the estimators of the drift,...
| Main Authors: | , , |
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| Format: | Conference Paper |
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Guizhou University
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/37460 |
| _version_ | 1848755053861535744 |
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| author | Misiran, Masnita Lu, Z. Teo, Kok Lay |
| author2 | Honglei Xu |
| author_facet | Honglei Xu Misiran, Masnita Lu, Z. Teo, Kok Lay |
| author_sort | Misiran, Masnita |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Brownian motion that is widely used for Black-Scholes option pricing. By considering GFBM, we are now able to capture the memory dependency. This method will enable us to derive the estimators of the drift, μ, volatility, !2, and also the index of self similarity, H, simultaneously. This will enable us to use the fractional Black-Scholes model with all the needed parameters. Simulation outcomes illustrate that our methodology is efficient and reliable. Empirical application to stock exchange index with option pricing under GFBM is also made. |
| first_indexed | 2025-11-14T08:50:12Z |
| format | Conference Paper |
| id | curtin-20.500.11937-37460 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:50:12Z |
| publishDate | 2010 |
| publisher | Guizhou University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-374602023-01-18T08:46:44Z Fractional black-scholes models: complete mle with application to fractional option pricing Misiran, Masnita Lu, Z. Teo, Kok Lay Honglei Xu Xinmin Yang Wei Wei maximum likelihood estimation option pricing long memory geometric fractional Brownian motion Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Brownian motion that is widely used for Black-Scholes option pricing. By considering GFBM, we are now able to capture the memory dependency. This method will enable us to derive the estimators of the drift, μ, volatility, !2, and also the index of self similarity, H, simultaneously. This will enable us to use the fractional Black-Scholes model with all the needed parameters. Simulation outcomes illustrate that our methodology is efficient and reliable. Empirical application to stock exchange index with option pricing under GFBM is also made. 2010 Conference Paper http://hdl.handle.net/20.500.11937/37460 Guizhou University fulltext |
| spellingShingle | maximum likelihood estimation option pricing long memory geometric fractional Brownian motion Misiran, Masnita Lu, Z. Teo, Kok Lay Fractional black-scholes models: complete mle with application to fractional option pricing |
| title | Fractional black-scholes models: complete mle with application to fractional option pricing |
| title_full | Fractional black-scholes models: complete mle with application to fractional option pricing |
| title_fullStr | Fractional black-scholes models: complete mle with application to fractional option pricing |
| title_full_unstemmed | Fractional black-scholes models: complete mle with application to fractional option pricing |
| title_short | Fractional black-scholes models: complete mle with application to fractional option pricing |
| title_sort | fractional black-scholes models: complete mle with application to fractional option pricing |
| topic | maximum likelihood estimation option pricing long memory geometric fractional Brownian motion |
| url | http://hdl.handle.net/20.500.11937/37460 |