A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL
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Publication:5112597
DOI10.1017/S1446181120000024zbMath1443.91291MaRDI QIDQ5112597
Publication date: 2 June 2020
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181120000024
60G22: Fractional processes, including fractional Brownian motion
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
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