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...
| मुख्य लेखक: | Siow, Woon Jeng |
|---|---|
| स्वरूप: | थीसिस |
| भाषा: | अंग्रेज़ी |
| प्रकाशित: |
2021
|
| विषय: | |
| ऑनलाइन पहुंच: | http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf |
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समान संसाधन
-
Fractional differential calculus on riemannian manifolds and convexity problems
द्वारा: Wedad Saleh, Al-Lehabi
प्रकाशित: (2017) -
Feedforward neural network for solving particular fractional differential equations
द्वारा: Admon, Mohd Rashid
प्रकाशित: (2024) -
Solving higher order delay differential equations with boundary conditions using multistep block method
द्वारा: Jaafar, Nur Tasnem
प्रकाशित: (2021) -
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द्वारा: Damag, Faten Hasan Mohammed
प्रकाशित: (2017) -
New classes of block backward differentiation formula for solving stiff initial value problems
द्वारा: Musa, Hamisu
प्रकाशित: (2013)