Cover Image

Financial applications on fractional Levy Stochastic processes

In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by...

Full description

Saved in:
Bibliographic Details
Main Authors: Abdullah Aljethi, Reem, Kılıçman, Adem
Format: Article
Published: Multidisciplinary Digital Publishing Institute 2022
Online Access:http://psasir.upm.edu.my/id/eprint/101520/
https://www.mdpi.com/2504-3110/6/5/278
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.101520
record_format eprints
spelling my.upm.eprints.1015202023-06-17T22:46:35Z http://psasir.upm.edu.my/id/eprint/101520/ Financial applications on fractional Levy Stochastic processes Abdullah Aljethi, Reem Kılıçman, Adem In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by a deterministic representation by means of a real valued function satisfying some fractional PDE. The numerical scheme of the fractional PDE is obtained by means of a weighted and shifted Grunwald approximation. Multidisciplinary Digital Publishing Institute 2022-05-22 Article PeerReviewed Abdullah Aljethi, Reem and Kılıçman, Adem (2022) Financial applications on fractional Levy Stochastic processes. Fractal and Fractional, 6 (5). art. no. 278. pp. 1-12. ISSN 2504-3110 https://www.mdpi.com/2504-3110/6/5/278 10.3390/fractalfract6050278
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
description In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by a deterministic representation by means of a real valued function satisfying some fractional PDE. The numerical scheme of the fractional PDE is obtained by means of a weighted and shifted Grunwald approximation.
format Article
author Abdullah Aljethi, Reem
Kılıçman, Adem
spellingShingle Abdullah Aljethi, Reem
Kılıçman, Adem
Financial applications on fractional Levy Stochastic processes
author_facet Abdullah Aljethi, Reem
Kılıçman, Adem
author_sort Abdullah Aljethi, Reem
title Financial applications on fractional Levy Stochastic processes
title_short Financial applications on fractional Levy Stochastic processes
title_full Financial applications on fractional Levy Stochastic processes
title_fullStr Financial applications on fractional Levy Stochastic processes
title_full_unstemmed Financial applications on fractional Levy Stochastic processes
title_sort financial applications on fractional levy stochastic processes
publisher Multidisciplinary Digital Publishing Institute
publishDate 2022
url http://psasir.upm.edu.my/id/eprint/101520/
https://www.mdpi.com/2504-3110/6/5/278
_version_ 1769844418302443520
score 13.211869

Similar Items