Computational technique for simulating variable-order fractional Heston model with application in US stock market

DOI10.1007/s40096-018-0267-zzbMath1422.91770OpenAlexW2896887406WikidataQ129059748 ScholiaQ129059748MaRDI QIDQ2418460

Behrouz Parsa Moghaddam, Hossein Samimi Haghgozar, Zeinab Salamat Mostaghim

Publication date: 3 June 2019

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-018-0267-z

zbMATH Keywords

optimizationstock pricestochastic calculusfractional calculuscomputational techniquesvariable-order fractional Heston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Fractional ordinary differential equations (34A08)

Related Items (7)

THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION ⋮ A class of computational approaches for simulating fractional functional differential equations via Dickson polynomials ⋮ Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations ⋮ An efficient and robust numerical solver for impulsive control of fractional chaotic systems ⋮ An integro quadratic spline-based scheme for solving nonlinear fractional stochastic differential equations with constant time delay ⋮ Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion ⋮ \((\psi, \phi)\)-Wardowski contraction pairs and some applications

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