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Afshin Babaei

Afshin Babaei

Academic rank: Associate Professor
ORCID: https://orcid.org/0000-0002-6980-9786
Education: PhD.
ScopusId: https://www.scopus.com/authid/detail.uri?authorId=57188696707
Faculty: Faculty of Mathematical Sciences
Address: Department of Mathematics, Faculty of Mathematical sciences, University of Mazandaran, Babolsar, Iran
Phone: 011-35302418

Research

Title
On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets
Type
JournalPaper
Keywords
CEV model, Historical data, Time series analysis, Fractional BS equation, Convergence analysis
Year
2023
Journal Computational Economics
DOI
Researchers ُSeddighe Banihashemi ، Azadeh Ghasemifard ، Afshin Babaei

Abstract

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.