Please use this identifier to cite or link to this item:
Type: Conference paper
Title: Fractional Black-Scholes models: complete MLE with application to fractional option pricing
Author: Misiran, M.
Lu, Z.
Teo, K.
Citation: Proceedings of the International Conference on Optimization and Control (ICOCO2010), held in Guiyang China, July 18-23, 2010 / H. Xu, X. Yang and W. Wei (eds.): pp.573-588
Publisher: Curtin UT
Publisher Place: CD
Issue Date: 2010
ISBN: 9780646534923
Conference Name: International Conference on Optimization and Control (2010 : Guiyang, China)
Statement of
Masnita Misiran, Zudi Lu and Kok Lay Teo
Abstract: 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, _, 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.
Keywords: maximum likelihood estimation
geometric fractional Brownian motion
long memory
option pricing
Rights: Copyright status unknown
Published version:
Appears in Collections:Aurora harvest
Mathematical Sciences publications

Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.