We consider a fractional version of the Heston model where the two standard Brownian motions are replaced by two fractional Brownian motions with Hurst parameter H ∈ (1/2, 1). We show that the stochastic differential equation admits a unique positive solution by adapting and generalizing some...

In this paper, we consider the Heston-CIR model with Levy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and uniqueness of the solution to this model. Second, we examine the...