A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL

DOI10.1017/S1446181120000024zbMath1443.91291OpenAlexW3009915466MaRDI QIDQ5112597

Sha Lin, Xin-Jiang He

Publication date: 2 June 2020

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181120000024

zbMATH Keywords

European optionssemi-analyticalfractional Riccati equationrough Heston-CIR model

Mathematics Subject Classification ID

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

Related Items (1)

Heston-GA hybrid option pricing model based on ResNet50

Cites Work

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