APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL

DOI10.1142/S0219024920500314zbMath1460.91272OpenAlexW3034130090MaRDI QIDQ5147996

Anton Yurchenko-Tytarenko, Yuliya S. Mishura

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500314

zbMATH Keywords

fractional Brownian motionoption pricingfractional Heston model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Sandwiched SDEs with unbounded drift driven by Hölder noises

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