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

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dc.contributor.authorAlòs, Elisaca
dc.contributor.authorYang, Yanca
dc.contributor.otherUniversitat Pompeu Fabra. Departament d'Economia i Empresaca
dc.date.issued2014-10-01ca
dc.date.modified2016-09-29T02:50:42Zca
dc.format.mimetypeapplication/pdfca
dc.identifierhttps://econ-papers.upf.edu/ca/paper.php?id=1446ca
dc.identifier.urihttp://hdl.handle.net/10230/22737ca
dc.language.isoengca
dc.relation.ispartofseriesEconomics and Business Working Papers Series; 1446ca
dc.rightsL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsca
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/ca
dc.subject.keywordStatistics, Econometrics and Quantitative Methodsca
dc.subject.keywordstochastic volatilityca
dc.subject.keywordheston modelca
dc.subject.keyworditô's calculusca
dc.subject.keywordfractional brownian motionca
dc.titleA closed-form option pricing approximation formula for a fractional Heston modelca
dc.typeinfo:eu-repo/semantics/workingPaperca

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