شماره ركورد كنفرانس :
3503
عنوان مقاله :
Some results on fractional Heston model
Author/Authors :
A. R. Najafi University of Guilan , F. Mehrdoust University of Guilan
كليدواژه :
fractional Heston model , long-term property , fractional Brownian motion
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده لاتين :
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 E [1/2, 1). We compare
the skewness of log-return for financial models.
