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http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/5474| Title: | Mixed Fractional CEV Model with Stochastic Volatility and the Pricing of European Options |
| Authors: | Sun, Yudong Wanshan, Xie |
| Keywords: | Mixed fractional CEV model Strong solution Uniqueness Continuity Existence |
| Issue Date: | 16-Oct-2020 |
| Publisher: | Registrar , Vidyasagar University , Midnapore , West Bengal , India , 721102 |
| Abstract: | In this work, we study the existence, uniqueness and continuity of solution to tock price equation of CEV model with stochastic volatility in fixed fractional Brown motion. Besides, we show a Monte Carlo simulation based on the discretization method to price the European option. |
| Description: | PP:21-30 |
| URI: | http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/5474 |
| ISSN: | 2350-0352 |
| Appears in Collections: | Journal of Physical Sciences Vol.25 [2020] |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| JPS-v25-art3.pdf | PP:21-30 | 416.01 kB | Adobe PDF | View/Open |
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