Option Pricing under Double Heston Jump-Diffusion Model with Approximative Fractional Stochastic Volatility

Based on the present studies about the application of approximative fractional Brownian motion in the European option pricing models, our goal in the article is that we adopt the creative model by adding approximative fractional stochastic volatility to double Heston model with jumps since approxima...

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Bibliografiset tiedot

Päätekijät:	Ying Chang, Yiming Wang, Sumei Zhang
Aineistotyyppi:	Artigo
Kieli:	Inglês
Julkaistu:	MDPI AG 2021-01-01
Sarja:	Mathematics
Aiheet:	option pricing double heston model Jump-diffusion model approximative fractional Brownian motion calibration
Linkit:	https://www.mdpi.com/2227-7390/9/2/126
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