The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

Abstract Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms. Besides, we propose to price the vu...

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Bibliographic Details
Main Author: Yan Dong
Format: Article
Language:English
Published: SpringerOpen 2019-08-01
Series:Journal of Inequalities and Applications
Subjects:
Mixed fractional constant elasticity of variance model
Strong solution
Existence
Uniqueness
Continuity
Online Access:http://link.springer.com/article/10.1186/s13660-019-2158-8

Internet

http://link.springer.com/article/10.1186/s13660-019-2158-8

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