A Fractional Heston-Type Model as a Singular Stochastic Equation Driven by Fractional Brownian Motion
This paper introduces the fractional Heston-type (<i>fHt</i>) model as a stochastic system comprising the stock price process modeled by a geometric Brownian motion. In this model, the infinitesimal return volatility is characterized by the square of a singular stochastic equation driven by a fracti...
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| Hlavní autor: | |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2024-05-01
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| Edice: | Fractal and Fractional |
| Témata: | |
| On-line přístup: | https://www.mdpi.com/2504-3110/8/6/330 |
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