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<p>The aim of this paper is to present a new option pricing model for the financial market, named MMFSV, which stands for Mixed Modified Fractional Stochastic Volatility. We use this model to estimate the underlying price and volatility of the DSX index. The first step is to estimate the parameters of the MMFSV model and reconstruct historical volatility based on observations from 2018. A Matlab program is used to generate stock prices and volatility. The second step is to compare the generated prices with actual prices to determine if the model can capture the dynamics of the underlying assets and stock volatility. The results show that the difference between realized volatility and the volatility generated by the MMFSV model is not very significant, indicating that the MMFSV model can predict the volatility of the DSX.</p>

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A Mixed Modified Fractional Stochastic Volatility Models with Application to DSX Market Data

  • 期刊论文

  • 发表日期：

    2025年5月27日

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  • Eric Djeutcha,
  • Jules Sadefo Kamdem

摘要

The aim of this paper is to present a new option pricing model for the financial market, named MMFSV, which stands for Mixed Modified Fractional Stochastic Volatility. We use this model to estimate the underlying price and volatility of the DSX index. The first step is to estimate the parameters of the MMFSV model and reconstruct historical volatility based on observations from 2018. A Matlab program is used to generate stock prices and volatility. The second step is to compare the generated prices with actual prices to determine if the model can capture the dynamics of the underlying assets and stock volatility. The results show that the difference between realized volatility and the volatility generated by the MMFSV model is not very significant, indicating that the MMFSV model can predict the volatility of the DSX.