Mixed fractional Heston model and the pricing of American options

DOI10.1016/j.cam.2017.08.002zbMath1376.91162OpenAlexW2753486022MaRDI QIDQ1675943

Peng Zhang

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.08.002

zbMATH Keywords

American optionHeston modelmixed fractional Brownian motionEuler discretization method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Perpetual cancellable American options with convertible features ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Option pricing under time interval driven model ⋮ On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option ⋮ CEV model equipped with the long-memory ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ European option under a skew version of the GBM model with transaction costs by an RBF method ⋮ The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options ⋮ Heston-GA hybrid option pricing model based on ResNet50 ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ Unnamed Item ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

Uses Software

• Mathematica

Cites Work

• Unnamed Item
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications

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