研究者情報 | 神奈川大学

フナハシ　ヒデハル Funahashi Hideharu 舟橋　秀治所属神奈川大学経済学部経済学科/現代ビジネス学科神奈川大学大学院経済学研究科経済学専攻（公共政策コース）職種准教授
言語種別	英語
発行・発表の年月	2017/02
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and M. Kijima (2017), "Does the Hurst Index Matter for Option Prices under Fractional Volatility?" Annals of Finance, 13(1), 55 - 74
執筆形態	共著
掲載区分	国外
概要	This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive numerical experiments, we confirm that the decrease in the smile amplitude under fractional volatility is much slower than that under the standard stochastic volatility model. We also show that the Hurst index under fractional volatility has a crucial impact on option prices when the maturity is short and speed of mean reversion is slow. On the contrary, the impact of the Hurst index on option prices reduces for long-dated options.