Title of article
Computational technique for simulating variable‑order fractional Heston model with application in US stock market
Author/Authors
Salamat Mostaghim, Zeinab Department of Mathematics - Lahijan Branch - Islamic Azad University, Lahijan , Parsa Moghaddam, Behrouz Department of Mathematics - Lahijan Branch - Islamic Azad University, Lahijan , Samimi Haghgozar, Hossein Department of Statistics - Faculty of Mathematical Sciences - University of Guilan, Rasht
Pages
7
From page
277
To page
283
Abstract
In this paper, a numerical technique is developed to discretize variable-order fractional Heston differential equation. The
proposed strategy is followed by an optimization technology, genetic algorithm, for tuning the unknown parameters in the
proposed model. The performance of the model is analyzed to profit and loss 500 close index from the US stock markets.
Simulations illustrate the application of the proposed technique.
Keywords
Fractional calculus , Stochastic calculus , Computational techniques , Optimization , Variable-order fractional Heston model , Stock price
Journal title
Astroparticle Physics
Serial Year
2018
Record number
2449699
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