| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5776047 | Journal of Computational and Applied Mathematics | 2018 | 22 Pages |
Abstract
This paper presents a fractional version of the Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motions with Hurst parameter Hâ(34,1) so that the model exhibits a long range dependence. Then the existence and uniqueness of solution of mixed fractional Heston model are discussed as well as the error of an Euler scheme applied on this model. Finally, some numerical illustrations are given in the last section by computing American put option prices.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
F. Mehrdoust, A.R. Najafi, S. Fallah, O. Samimi,