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 2017/03
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H (2017), "Pricing Derivatives with Fractional Volatility," International Journal of Financial Engineering, 4(1), 1750014
執筆形態 単著
掲載誌名 International Journal of Financial Engineering
掲載区分国外
巻・号・頁 4(1)
著者・共著者 Hideharu Funahashi
概要 This paper studies the effect of fractional volatility on path-dependent options, which are highly sensitive to the volatility structure of a targeted underlying asset process. To this end, we propose an approximation formula for average and barrier options when volatility follows a fractional Brownian motion. Furthermore, using the analytical formula, we investigate the impact of the Hurst index on option prices. Overall, our important finding is that when the maturity is short and speed of mean-reversion is slow, the impact of the Hurst index strongly influences the option prices and that is non-negligible. This is an important lesson for practitioners who uses standard Brownian motion.