Option pricing under double Heston model with approximative fractional stochastic volatility

DOI10.1155/2021/6634779zbMath1512.9114MaRDI QIDQ6483899

Ying Chang, Su-Mei Zhang, Yi-Ming Wang

Publication date: 21 January 2022

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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