Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
Year of publication: |
2020
|
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Authors: | Mišura, Julija S. ; Yurchenko-Tytarenko, Anton |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 5, p. 1-36
|
Subject: | Fractional Heston model | fractional Brownian motion | option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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