Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents. We obtained an approximate closed-form formula for a...
| Главные авторы: | , |
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| Формат: | Статья |
| Язык: | English |
| Опубликовано: |
AIMS Press
2024-09-01
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| Серии: | AIMS Mathematics |
| Предметы: | |
| Online-ссылка: | https://www.aimspress.com/article/doi/10.3934/math.20241248?viewType=HTML |