A closed-form option pricing approximation formula for a fractional Heston model

dc.contributor.author	Alòs, Elisa
dc.contributor.author	Yang, Yan
dc.contributor.other	Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued	2014-10-01
dc.identifier	https://econ-papers.upf.edu/ca/paper.php?id=1446
dc.identifier.uri	http://hdl.handle.net/10230/22737
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	Economics and Business Working Papers Series; 1446
dc.rights	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title	A closed-form option pricing approximation formula for a fractional Heston model
dc.type	info:eu-repo/semantics/workingPaper
dc.date.modified	2016-09-29T02:50:42Z
dc.subject.keyword	Statistics, Econometrics and Quantitative Methods
dc.subject.keyword	stochastic volatility
dc.subject.keyword	heston model
dc.subject.keyword	itô's calculus
dc.subject.keyword	fractional brownian motion
dc.rights.accessRights	info:eu-repo/semantics/openAccess