Simultaneous Identification of Volatility and Mean-Reverting Parameter for European Option under Fractional CKLS Model
In this paper, we reconstruct the time-dependent volatility function of the underlying asset and the mean-reverting parameter <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>γ</mi></semantics><...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-06-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/6/7/344 |