Fractional constant elasticity of variance model

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dc.creatorChan, Ngai Hang
dc.creatorNg, Chi Tim
dc.date2007-02-27
dc.date.accessioned2026-07-07T12:07:22Z
dc.date.available2026-07-07T12:07:22Z
dc.descriptionThis paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this paper, a fractional version of the Constant Elasticity of Variance (CEV) model is developed. European option pricing formula similar to that of the classical CEV model is obtained and a volatility skew pattern is revealed.
dc.descriptionPublished at http://dx.doi.org/10.1214/074921706000001012 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702810
dc.identifierhttp://arxiv.org/abs/math/0702810
dc.identifierIMS Lecture Notes Monograph Series 2006, Vol. 52, 149-164
dc.identifierdoi:10.1214/074921706000001012
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208946
dc.subjectStatistics Theory
dc.subjectPricing of Securities
dc.subject91B28, 91B70 (Primary) 60H15, 60H40 (Secondary)
dc.titleFractional constant elasticity of variance model
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