A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model

DOI10.1007/s40314-023-02432-5MaRDI QIDQ6080411

Hyun-Gyoon Kim, Jeong-Hoon Kim, So-Yoon Cho

Publication date: 2 October 2023

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricingOrnstein-Uhlenbeck processconstant elasticity of variancemartingale methodfractional volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

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