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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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf |
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