Mixed fractional Heston model and the pricing of American options
作者:
Highlights:
•
摘要
This paper presents a fractional version of the Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motions with Hurst parameter H∈(34,1) so that the model exhibits a long range dependence. Then the existence and uniqueness of solution of mixed fractional Heston model are discussed as well as the error of an Euler scheme applied on this model. Finally, some numerical illustrations are given in the last section by computing American put option prices.
论文关键词:60G22,97M30,Heston model,Mixed fractional Brownian motion,Euler discretization method,American option
论文评审过程:Received 7 June 2017, Revised 11 July 2017, Accepted 4 August 2017, Available online 31 August 2017, Version of Record 14 September 2017.
论文官网地址:https://doi.org/10.1016/j.cam.2017.08.002