We present a method to develop simple option pricing approximation formulas for a fractional Heston model, where the volatility process is defined by means of a fractional integration of a diffusion process. This model preserves the short-time behaviour of the Heston model, at the same time it...

The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously, it is said that the series is driven by white noise. This paper is aimed at...