Title | A FRACTIONAL VERSION OF THE HESTON MODEL WITH HURST PARAMETER H ∈ (1/2, 1) |
Publication Type | Journal Article |
Year of Publication | 2017 |
Authors | LEPINETTE EMMANUEL, MEHRDOUST FARSHID |
Journal | Dynamic Systems and Applications |
Volume | 26 |
Issue | 3&4 |
Start Page | 537 |
Pagination | 13 |
Date Published | 2017 |
ISSN | 1056-2176 |
AMS Subject Classification | 34F05, 37H10, 60H20 |
Abstract | We consider a fractional version of the Heston model where the two standard Brownian motions are replaced by two fractional Brownian motions with Hurst parameter H ∈ (1/2, 1). We show that the stochastic differential equation admits a unique positive solution by adapting and generalizing some results of Y. Hu, D. Nualart and X. Song on singular equations driven by rough paths. Moreover, we show that the fractional version of the variance, which is a version of the fractional Cox-Ingersoll-Ross model, is still a mean-reverting process. |
https://acadsol.eu/dsa/articles/26/34/9.pdf | |
DOI | 10.12732/dsa.v26i34.9 |
Refereed Designation | Refereed |