Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
type: Item
instance of: scholarly article
title: APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL
zbMATH Open document ID: 1460.91272
DOI: 10.1142/S0219024920500314
author: Anton Yurchenko-Tytarenko
author: Yuliya S. Mishura
published in: International Journal of Theoretical and Applied Finance
publication date: 2021-01-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 7303448
zbMATH Keywords: fractional Heston model
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: option pricing
MaRDI profile type: MaRDI publication profile
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full work available at URL: s0219024920500314
OpenAlex ID: W3034130090
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description: scientific article; zbMATH DE number 7303448