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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Autor principal:	Marc Mukendi Mpanda
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2024-05-01
Col·lecció:	Fractal and Fractional
Matèries:	fractional Heston model fractional Brownian motion fractional Cox–Ingersoll–Ross process Malliavin differentiability
Accés en línia:	https://www.mdpi.com/2504-3110/8/6/330
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