Farshid Mehrdoust

Department of Applied Mathematics, Faculty of Mathematical Sciences University of Guilan,

Associate professor

P.O. Box 1841

Rasht, Guilan

Iran

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Scholarly Papers (1)

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

Number of pages: 12 Posted: 13 Dec 2016
Emmanuel Lepinette and Farshid Mehrdoust
Université Paris-Dauphine - CEREMADE, CNRS and Department of Applied Mathematics, Faculty of Mathematical Sciences University of Guilan,
Downloads 284 (147,686)

Abstract:

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fractional Heston and Cox-Ingersoll-Ross models, fractional Brownian motion, singular equations driven by rough paths