شماره ركورد كنفرانس :
4079
عنوان مقاله :
Some results on fractional Heston model
پديدآورندگان :
Najafi A. R najafi.alireza93@yahoo.com University of Guilan , Mehrdoust F far.mehrdoust@gmail.com University of Guilan
كليدواژه :
fractional Heston model , fractional Brownian motion , long , term property
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده فارسي :
In this paper, we present a fractional version of the Heston’s stochastic volatility model. To
do this, we employ the fractional Brownian motion by Hurst index $H \in [1/2, 1)$. We compare
the skewness of log-return for financial models
