Option pricing for rough Heston model using numerical methods

The value of an option is largely affected by the underlying assumptions or models, such as the modelling of the volatility process. Fractional Brownian motion has been shown to be able to accurately model and forecast volatility processes displayed in the financial market. The key attribute of m...

书目详细资料
主要作者:	Siow, Woon Jeng
格式:	Thesis
语言:	英语
出版:	2021
主题:	Option value Fractional differential equations
在线阅读:	http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf

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