Option pricing under the fractional stochastic volatility model (Q5158749)
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scientific article; zbMATH DE number 7413996
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| English | Option pricing under the fractional stochastic volatility model |
scientific article; zbMATH DE number 7413996 |
Statements
OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (English)
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26 October 2021
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fractional Brownian motion
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stochastic volatility
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Malliavin calculus
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option pricing
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0.8781743049621582
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0.8635146617889404
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0.8536396026611328
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0.8461434245109558
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