The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

DOI10.1186/s13660-019-2158-8zbMath1499.91135OpenAlexW2965834942MaRDI QIDQ2067976

Yan Dong

Publication date: 19 January 2022

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-019-2158-8

zbMATH Keywords

existencecontinuityuniquenessstrong solutionmixed fractional constant elasticity of variance model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Valuation of power options under Heston's stochastic volatility model
• Arbitrage in fractional Brownian motion models
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
• Mixed fractional Heston model and the pricing of American options
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing vulnerable options with stochastic volatility
• Markovian structure of the Volterra Heston model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• A multifactor volatility Heston model
• Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Large-maturity regimes of the Heston forward smile

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