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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
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
ISSN: 2350-0352
Appears in Collections:Journal of Physical Sciences Vol.25 [2020]

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