The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
Author:
Funder
National Nature Science Foundation of China
Scientific research Foundation of Shaanxi Railway Institute
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Discrete Mathematics and Combinatorics,Analysis
Link
http://link.springer.com/content/pdf/10.1186/s13660-019-2158-8.pdf
Reference16 articles.
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3. Jaber, E.A., Euch, O.E.: Markovian structure of the Volterra Heston model. Stat. Probab. Lett. 149, 63–72 (2019)
4. Jacquier, A., Roome, P.: Large-maturity regimes of the Heston forward smile. Stoch. Process. Appl. 126, 1087–1123 (2016)
5. Hull, J., White, A.: The pricing of options on assets with stochastic volatilities. J. Finance 42, 281–300 (1987)
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