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

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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

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