Student Models for a Risky Asset with Dependence: Option Pricing and Greeks

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dc.contributor.authorLeonenko, Nikolaien_US
dc.contributor.authorLiu, Anqien_US
dc.contributor.authorShchestyuk, Nataliyaen_US
dc.date.accessioned2025-01-27T14:11:27Z
dc.date.available2025-01-27T14:11:27Z
dc.date.issued2024
dc.description.abstractWe propose several new models in finance known as the Fractal Activity Time Geometric Brownian Motion (FATGBM) models with Student marginals. We summarize four models that construct stochastic processes of underlying prices with short-range and long-range dependencies. We derive solutions of option Greeks and compare with those in the Black-Scholes model. We analyse performance of delta hedging strategy using simulated time series data and verify that hedging errors are biased particularly for long-range dependence cases. We also apply underlying model calibration on S&P 500 index (SPX) and the U.S./Euro rate, and implement delta hedging on SPX options.en_US
dc.identifier.citationLeonenko N. N. Student Models for a Risky Asset with Dependence: Option Pricing and Greeks / Leonenko Nikolai N., Liu Anqi, Shchestyuk Nataliya // Austrian journal of statistics. - 2024. - [Article in press]. - https://doi.org/10.17713/ajs.v54i1.1952en_US
dc.identifier.issn1026-597X
dc.identifier.urihttps://doi.org/10.17713/ajs.v54i1.1952
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/33344
dc.language.isoenen_US
dc.relation.sourceAustrian journal of statisticsen_US
dc.statusfirst publisheden_US
dc.subjectoption pricingen_US
dc.subjectfractal activity timeen_US
dc.subjectstudent processesen_US
dc.subjectdependence structureen_US
dc.subjectsupOU processesen_US
dc.subjectdelta hedgingen_US
dc.subjectarticleen_US
dc.titleStudent Models for a Risky Asset with Dependence: Option Pricing and Greeksen_US
dc.typeArticleen_US
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