@article {10.3844/jmssp.2011.230.238,
article_type = {journal},
title = {An Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion Model},
author = {Sattayatham, P. and Intarasit, A.},
volume = {7},
year = {2011},
month = {Jul},
pages = {230-238},
doi = {10.3844/jmssp.2011.230.238},
url = {https://thescipub.com/abstract/jmssp.2011.230.238},
abstract = {Problem statement: We presented option pricing when the stock prices follows a jumpdiffusion
model and their stochastic volatility follows a fractional stochastic volatility model. This
proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the
classical stochastic volatility model. Approach: We introduce an approximated method to fractional
stochastic volatility model perturbed by the fractional Brownian motion. A relationship between
stochastic differential equations and partial differential equations for a bivariate model is presented.
Results: By using an approximate method, we provide the approximate solution of the fractional
stochastic volatility model. And European options are priced by using the risk-neutral valuation.
Conclusion/Recommendations: The formula of European option is calculated by using the technique
base on the characteristic function of an underlying asset which can be expressed in an explicit
formula. A numerical integration technique to simulation fractional stochastic volatility are presented
in this study.},
journal = {Journal of Mathematics and Statistics},
publisher = {Science Publications}
}