Existence and Uniqueness Solution Under Non-Lipschiz Condition of the Mixed Fractional Heston's Model
DOI:
https://doi.org/10.29020/nybg.ejpam.v12i2.3395Keywords:
Brownian motion, fractional processes, mixed fractional Brownian, Heston mode, Monte Carlo AlgorithmAbstract
This paper focuses on a mixed fractional version of Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian motion with the Hurst parameter $H\in(\frac{3}{4},1)$ so that the model exhibits the long range dependence. The existence and uniqueness of solution of mixed fractional Heston model is established under various non-Lipschitz condition and a related Euler discretization method is discussed. An example on the American put option price using Least Squares Monte Carlo Algorithm to produce acceptable results under the mixed fractional Heston model is presented to illustrate the applicability of the theory. The numerical result obtained proves the performanceof our results.
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Published
2019-04-29
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Algebra
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How to Cite
Existence and Uniqueness Solution Under Non-Lipschiz Condition of the Mixed Fractional Heston’s Model. (2019). European Journal of Pure and Applied Mathematics, 12(2), 448-468. https://doi.org/10.29020/nybg.ejpam.v12i2.3395