Publication details
Price Modelling under Generalized Fractional Brownian Motion
| Authors | |
|---|---|
| Year of publication | 2024 |
| Type | Chapter in a book |
| MU Faculty or unit | |
| Citation | |
| Description | The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we study its use as the main driver for price fluctuations, replacing the standard Brownian motion in the well-known Black-Scholes model. By the derivation of the generalized fractional Ito’s lemma and the related effective Fokker-Planck equation, we discuss its application to both the option pricing problem valuing European options, and the computation of Value-at-Risk and Expected Shortfall. Moreover, the option prices are computed for a CEV-type model driven by gfBm. |