Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)

DOI10.1016/J.PHYSA.2019.122690OpenAlexW2974068358MaRDI QIDQ2164565

Hossein Sahebi Fard, Elham Dastranj, Abdolmajid Abdolbaghi, S. Reza Hejazi

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122690

zbMATH Keywords

parameter estimationfractional Brownian motionfast Fourier transformfractional Heston modelpower option pricing

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Exact solutions and numerical simulation for Bakstein-Howison model

Cites Work

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• Pricing vulnerable options with stochastic volatility
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• Critical value-based Asian option pricing model for uncertain financial markets
• A new method for option pricing via time-fractional PDE
• Symmetry operators and exact solutions of a type of time-fractional Burgers–KdV equation
• Fractional Brownian Motions, Fractional Noises and Applications

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