Option pricing under the fractional stochastic volatility model
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Cites work
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- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
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Cited in
(41)- Mixed fractional Heston model and the pricing of American options
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
- The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
- Option pricing under the subordinated market models
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- The valuation of European option under subdiffusive fractional Brownian motion of the short rate
- Mellin transform method for European option pricing under sub-fractional stochastic interest rate model
- Asymptotics for option pricing in stochastic volatility environment
- Option pricing under the KoBol model
- Option pricing for a jump diffusion model with fractional stochastic volatility
- A possible way of estimating options with stable distributed underlying asset prices
- scientific article; zbMATH DE number 1867090 (Why is no real title available?)
- Option pricing under default risk based on fractional Ho-Lee stochastic interest rate model
- European option pricing with stochastic volatility in sub-fractional Brownian motion environment
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- Pricing European and American options under fractional model
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- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL
- Option pricing under double Heston model with approximative fractional stochastic volatility
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- Nonparametric estimation of fractional option pricing model
- Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
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