Existence and Uniqueness Solution Under Non-Lipschiz Condition of the Mixed Fractional Heston's Model
| Autor: | Didier Alain Njamen Njomen, Louis-Aime Fono, Eric Djeutcha |
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| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Hurst exponent Numerical Analysis Algebra and Number Theory Fractional Brownian motion Applied Mathematics Theoretical Computer Science Heston model Applied mathematics Geometry and Topology Uniqueness Volatility (finance) Put option Brownian motion Monte Carlo algorithm Mathematics |
| Zdroj: | European Journal of Pure and Applied Mathematics. 12:448-468 |
| ISSN: | 1307-5543 |
| DOI: | 10.29020/nybg.ejpam.v12i2.3395 |
| Popis: | This paper focuses on a mixed fractional version of Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motion with the Hurst parameter $H\in(\frac{3}{4},1)$ so that the model exhibits the long range dependence. The existence and uniqueness of solution of mixed fractional Heston model is established under various non-Lipschitz condition and a related Euler discretization method is discussed. An example on the American put option price using Least Squares Monte Carlo Algorithm to produce acceptable results under the mixed fractional Heston model is presented to illustrate the applicability of the theory. The numerical result obtained proves the performanceof our results. |
| Databáze: | OpenAIRE |
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