Mixed fractional Heston model and the pricing of American options

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:330

Article

Mehrdoust, F.¹  Najafi, A. R.¹  Fallah, S.¹  Samimi, O.¹ 

[1] Univ Guilan, Fac Math Sci, Dept Appl Math, POB 41938-1914, Rasht, Iran

关键词: Heston model;    Mixed fractional Brownian motion;    Euler discretization method;    American option;   

DOI  :  10.1016/j.cam.2017.08.002

来源: Elsevier

【 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 is an element of(3/4, 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. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

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