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The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
oleh: Yan Dong
Format: | Article |
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Diterbitkan: | SpringerOpen 2019-08-01 |
Deskripsi
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.