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|Title:||Mixed Fractional CEV Model with Stochastic Volatility and the Pricing of European Options|
|Keywords:||Mixed fractional CEV model|
|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.|
|Appears in Collections:||Journal of Physical Sciences Vol.25 |
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