The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

DOI10.1186/S13660-019-2158-8zbMATH Open1499.91135OpenAlexW2965834942MaRDI QIDQ2067976FDOQ2067976

Authors: Yan Dong 

Publication date: 19 January 2022

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-019-2158-8

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zbMATH Keywords

continuityexistencestrong solutionuniquenessmixed fractional constant elasticity of variance model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Stochastic models in economics (91B70)

Cites Work

• Arbitrage in fractional Brownian motion models
• Stochastic Calculus for Fractional Brownian Motion and Applications
• A multifactor volatility Heston model
• Post-'87 crash fears in the S\&P 500 futures option market
• Valuation of power options under Heston's stochastic volatility model
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing vulnerable options with stochastic volatility
• Markovian structure of the Volterra Heston model
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
• Large-maturity regimes of the Heston forward smile
• Mixed fractional Heston model and the pricing of American options
• Rare shock, two-factor stochastic volatility and currency option pricing

Cited In (1)

• Well-posedness and stability analysis of two classes of generalized stochastic volatility models

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