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
   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 Kijima M (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
掲載誌名 Annals of Finance
掲載区分国外
巻・号・頁 13(1),pp.55-74
著者・共著者 Hideharu Funahashi, Masaaki Kijima
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.