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A Fractional Version of the Heston Model with Hurst Parameter H ∈ (1/2, 1)

Lepinette, Emmanuel; Mehrdoust, Farshid - 2016

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...

Persistent link: https://www.econbiz.de/10014123842

Pricing multi-asset American option under Heston stochastic volatility model

Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011923057

Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity

Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120

Persistent link: https://www.econbiz.de/10012616833

Implied higher order moments in the Heston model : a case study of S&P 500 index

Mehrdoust, Farshid; Noorani, Idin - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 477-504

Persistent link: https://www.econbiz.de/10014443752

Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes

Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853

Persistent link: https://www.econbiz.de/10014228463