Mixed fractional Heston model and the pricing of American options

被引：23
|
作者：
Mehrdoust, F. [1 ]
Najafi, A. R. [1 ]
Fallah, S. [1 ]
Samimi, O. [1 ]
机构：
[1] Univ Guilan, Fac Math Sci, Dept Appl Math, POB 41938-1914, Rasht, Iran
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2018年 / 330卷
关键词：
Heston model; Mixed fractional Brownian motion; Euler discretization method; American option; STOCHASTIC DIFFERENTIAL-EQUATIONS; PARTICLE SWARM OPTIMIZATION; BROWNIAN-MOTION; PREDICTION; DRIVEN;
D O I：
10.1016/j.cam.2017.08.002
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
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.
引用
收藏
页码：141 / 154
页数：14
相关论文
共 50 条
  • [31] Option Pricing under Double Heston Model with Approximative Fractional Stochastic Volatility
    Chang, Ying
    Wang, Yiming
    Zhang, Sumei
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2021, 2021
  • [32] Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps
    Cheng, Panhong
    Xu, Zhihong
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2021, 2021
  • [33] A tree-based method to price American options in the Heston model
    Vellekoop, Michel
    Nieuwenhuis, Hans
    JOURNAL OF COMPUTATIONAL FINANCE, 2009, 13 (01) : 1 - 21
  • [34] An asymptotic expansion method for geometric Asian options pricing under the double Heston model
    Zhang, Sumei
    Gao, Xiong
    CHAOS SOLITONS & FRACTALS, 2019, 127 : 1 - 9
  • [35] Semi- Analytical Pricing of Barrier Options in the Time- Dependent Heston Model
    Carr, Peter
    Itkin, Andrey
    Muravey, Dmitry
    JOURNAL OF DERIVATIVES, 2022, 30 (02): : 141 - 171
  • [36] Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
    Xu, Feng
    Yang, Xiao-Jun
    FRACTAL AND FRACTIONAL, 2023, 7 (12)
  • [37] Pricing American put options model with application to oil options
    Nafia, Hajar
    Agmour, Imane
    El Foutayeni, Youssef
    Achtaich, Naceur
    INTERNATIONAL JOURNAL OF COMPUTING SCIENCE AND MATHEMATICS, 2023, 17 (01) : 67 - 78
  • [38] Dynamic Pricing Model of Power Options in a Fractional Market
    Zhang, Hui
    Meng, WenYu
    ADVANCED RESEARCH ON AUTOMATION, COMMUNICATION, ARCHITECTONICS AND MATERIALS, PTS 1 AND 2, 2011, 225-226 (1-2): : 338 - 341
  • [39] MARKOV REGIME-SWITCHING HESTON MODEL WITH CIR MODEL FRAMEWORK AND PRICING VIX AND S&P500 AMERICAN PUT OPTIONS
    Mehrdoust, Farshid
    Noorani, Idin
    Fallah, Somayeh
    MATHEMATICAL REPORTS, 2022, 24 (04): : 781 - 806
  • [40] American option pricing under the double Heston model based on asymptotic expansion
    Zhang, S. M.
    Feng, Y.
    QUANTITATIVE FINANCE, 2019, 19 (02) : 211 - 226
12345