Option Pricing under Double Heston Model with Approximative Fractional Stochastic Volatility
Author:
Affiliation:
1. School of Economics, Peking University, Beijing 100871, China
2. School of Science, Xi’an University of Posts and Telecommunications, Xi’an 710121, China
Abstract
Funder
National Natural Science Foundation of China
Publisher
Hindawi Limited
Subject
General Engineering,General Mathematics
Link
http://downloads.hindawi.com/journals/mpe/2021/6634779.pdf
Reference30 articles.
1. The Pricing of Options and Corporate Liabilities
2. The Pricing of Options on Assets with Stochastic Volatilities
3. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application
4. Option values under stochastic volatility: Theory and empirical estimates
5. Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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