مشخصات پژوهش

عنوان	On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets
نوع پژوهش	مقاله چاپ شده
کلیدواژه‌ها	CEV model, Historical data, Time series analysis, Fractional BS equation, Convergence analysis
چکیده	This article explores a stochastic volatility model that incorporates fractional Brownian motion (fBm) into the constant elasticity of variance (CEV) framework. We use time series models to estimate the drift and volatility parameters of the model and validate its performance. We also examine the fractional Black-Scholes (BS) equation arising from the CEV model with fBm. To solve this equation numerically, we apply a Chebyshev collocation method and analyze its convergence properties. We demonstrate the efectiveness of the numerical method with an example and apply it to the option pricing problem.
پژوهشگران	افشین بابائی (نفر سوم)، آزاده قاسمی فرد (نفر دوم)، صدیقه بنی هاشمی (نفر اول)