论文标题
次级CEV模型
The sub-fractional CEV model
论文作者
论文摘要
次分支布朗运动（SFBM）是一个随机过程，其特征是非平稳性和远距离依赖性，被认为是标准的布朗尼运动（BM）和分数布朗尼运动（FBM）之间的中间步骤。混合过程是BM和独立的SFBM之间的线性组合，称为混合次分支的Brownian运动（MSFBM），它使SFBM的特征添加了H> 3/4的Semi-Martingale属性，是用于价格波动建模的合适候选者，尤其是用于期权定价的候选者。在本说明中，我们以差异的弹性（CEV）模型的恒定弹性（由混合的次级布朗尼运动驱动）达到了欧洲呼叫价格。经验测试表明，所提出的模型的能力捕获了不同成熟度跨期权价格的时间结构。
The sub-fractional Brownian motion (sfBm) 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 arrive at the European Call price under the Constant Elasticity of Variance (CEV) model driven by a mixed sub-fractional Brownian motion. Empirical tests show the capacity of the proposed model to capture the temporal structure of option prices across different maturities.
