CEV model equipped with the long-memory

DOI10.1016/j.cam.2020.113359zbMath1457.91373OpenAlexW3117942315MaRDI QIDQ2226287

Farshid Mehrdoust, Somayeh Fallah

Publication date: 11 February 2021

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.2020.113359

zbMATH Keywords

option pricingCEV processmixed fractional Brownian motionlong memory property

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• longmemo

Cites Work

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