A fractional version of the Heston model with Hurst parameter H (1/2, 1)

MaRDI QIDQ4609296zbMATH OpenFDO

Authors Emmanuel Lépinette, Farshid Mehrdoust

Publication date 29 March 2018

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

Recommendations

• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• Mixed fractional Heston model and the pricing of American options
• Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter
• A fractional Heston model with \(H>1/2\)
• Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion

Cited in

(15)

• Portfolio Optimization in Fractional and Rough Heston Models
• Fractional geometric mean-reversion processes
• CEV model equipped with the long-memory
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
• A fractional Hull-White model
• Fractional Cox-Ingersoll-Ross process with small Hurst indices
• Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
• Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter
• Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)
• Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
• A fractional Heston model with \(H>1/2\)
• Generalisation of fractional Cox-Ingersoll-Ross process
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
• scientific article; zbMATH DE number 7049505 (Why is no real title available?)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option

This page was built for publication: A fractional version of the Heston model with Hurst parameter \(H \in (1/2, 1)\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4609296)