Pricing European option under the generalized fractional jump-diffusion model

doi:10.1007/s13540-024-00290-4

	Pricing European option under the generalized fractional jump-diffusion model
	Guo, Jingjun1,2 ; Wang, Yubing 1; Kang, Weiyi 1
	2024-05-16
在线发表日期	2024-05
发表期刊	FRACTIONAL CALCULUS AND APPLIED ANALYSIS
卷号	27 期号:4 页码:1917-1947
摘要	The pricing problem of European option is investigated under the generalized fractional jump-diffusion model. First of all, the generalized fractional jump-diffusion model is proposed, with the assumption that the underlying asset price follows this model, and the explicit solution is derived using the It & ocirc; formula. Then, the partial differential equation (PDE) of the European option price is obtained by using the delta-hedging strategy, and the analytical solutions of the European call and put option prices are obtained through the risk-neutral pricing principle. Moreover, the accuracy of closed-form formula for European option pricing is verified by the Monte Carlo simulation. Furthermore, the properties of the pricing formulas are discussed and the impact of main parameters on the option pricing model are analyzed via calculations of Greeks. Finally, the rationality and validity of the established option pricing model are verified by numerical analysis.
关键词	Generalized fractional jump process It & ocirc formula European option pricing Sensitivity analysis
DOI	10.1007/s13540-024-00290-4
收录类别	SCIE
ISSN	1311-0454
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics, Interdisciplinary Applications ; Mathematics
WOS记录号	WOS:001226749900001
出版者	SPRINGERNATURE
原始文献类型	Article ; Early Access
EISSN	1314-2224
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/36244
专题	统计与数据科学学院
通讯作者	Wang, Yubing
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat & Data Sci, Lanzhou 730020, Gansu, Peoples R China; 2.Ctr Quantitat Anal Gansu Econ Dev, Lanzhou 730020, Gansu, Peoples R China
第一作者单位	兰州财经大学
通讯作者单位	兰州财经大学
推荐引用方式 GB/T 7714	Guo, Jingjun,Wang, Yubing,Kang, Weiyi. Pricing European option under the generalized fractional jump-diffusion model[J]. FRACTIONAL CALCULUS AND APPLIED ANALYSIS,2024,27(4):1917-1947.
APA	Guo, Jingjun,Wang, Yubing,&Kang, Weiyi.(2024).Pricing European option under the generalized fractional jump-diffusion model.FRACTIONAL CALCULUS AND APPLIED ANALYSIS,27(4),1917-1947.
MLA	Guo, Jingjun,et al."Pricing European option under the generalized fractional jump-diffusion model".FRACTIONAL CALCULUS AND APPLIED ANALYSIS 27.4(2024):1917-1947.