The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
作者: Yan Dong
刊名: Journal of Inequalities and Applications, 2019, Vol.2019 (1), pp.1-17
来源数据库: Directory of Open Access Journals
DOI: 10.1186/s13660-019-2158-8
关键词: Mixed fractional constant elasticity of variance modelStrong solutionExistenceUniquenessContinuity
原始语种摘要: 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 vulnerable option with the discretization method and present the results using a Monte Carlo simulation.
全文获取路径: DOAJ  (合作)
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来源刊物:
影响因子:0.822 (2012)

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关键词翻译
关键词翻译
  • 溶液 连续性
  • volatility 挥发性
  • variance 离散
  • pricing 定价
  • stochastic 随机的
  • options 保留购买权
  • elasticity 弹性
  • fractional 分级的
  • vulnerable 要害
  • continuity 连续性
  • solution 连续性