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...
| 第一著者: | |
|---|---|
| フォーマット: | 学位論文 |
| 言語: | 英語 |
| 出版事項: |
2021
|
| 主題: | |
| オンライン･アクセス: | http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf |