APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996)
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scientific article; zbMATH DE number 7303448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL |
scientific article; zbMATH DE number 7303448 |
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APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (English)
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29 January 2021
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fractional Heston model
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fractional Brownian motion
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option pricing
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