A fractional Heston model with

DOI10.1080/17442508.2016.1218496zbMath1366.91112OpenAlexW2522794339MaRDI QIDQ2974870

Yan Yang, Elisa Alòs

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1218496

zbMATH Keywords

fractional Brownian motionstochastic volatilityHeston modelItô's calculus

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Markovian lifts of positive semidefinite affine Volterra-type processes ⋮ Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging ⋮ Generalised class of time fractional black Scholes equation and numerical analysis

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