An extremal fractional Gaussian with a possible application to option-pricing with skew and smile

Autor:	Jurisch, Alexander
Rok vydání:	2018
Předmět:	Quantitative Finance - Pricing of Securities Condensed Matter - Statistical Mechanics Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We derive an extremal fractional Gaussian by employing the L\'evy-Khintchine theorem and L\'evian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and exponentially convergent option-pricing formula for fractional markets. We also carry out an analysis of the structure of the implied volatility in this system. Comment: 6 pages, 3 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1804.02689 Zobrazit plný text záznamu View this record from Arxiv