Option pricing for rough Heston model using numerical methods

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...

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書目詳細資料
主要作者:	Siow, Woon Jeng
格式:	Thesis
語言:	English
出版:	2021
主題:	Option value Fractional differential equations
在線閱讀:	http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf
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