Option pricing for rough Heston model using numerical methods

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Option pricing for rough Heston model using numerical methods

The value of an option is largely affected by the underlying assumptions or models, such as the modelling of the volatility process. Fractional Brownian motion has been shown to be able to accurately model and forecast volatility processes displayed in the financial market. The key attribute of m...

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Bibliographic Details
Main Author:	Siow, Woon Jeng
Format:	Thesis
Language:	English
Published:	2021
Subjects:	Option value Fractional differential equations
Online Access:	http://psasir.upm.edu.my/id/eprint/104713/ http://psasir.upm.edu.my/id/eprint/104713/1/SIOW%20WOON%20JENG%20-IR.pdf

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