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

zbMATH Open1386.91099MaRDI QIDQ4609296FDOQ4609296

Authors: Emmanuel Lépinette, Farshid Mehrdoust 

Publication date: 29 March 2018

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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)

Cited In (12)

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• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation
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• 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
• 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
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
• Title not available (Why is that?)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
• Portfolio Optimization in Fractional and Rough Heston Models

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