We consider a fractional version of the Heston volatility model which is inspired by [H.
Guennoun et al., SIAM J. Financial Math,, 9 (2018), pp. 1017--1045]. Within this model we …

This article deals with an European option pricing via proportional transaction costs in the
incomplete environment with and without arbitrage opportunities under two long memory …

In this work, we study the existence and uniqueness of the solution to the stochastic
differential equation of the double Heston model which is defined by two independent …

We study a class of fractional stochastic differential equations (FSDEs) with coefficients that
may not satisfy the linear growth condition and non-Lipschitz diffusion coefficient. Using the …

Abstract [eng] Strongly consistent and asymptotically normal estimate of the Hurst index H
are obtained for stochastic differential equations (SDEs) that have a unique positive solution …

In this work, the volatility processes of the double Heston model are extended to treat the
long memory property of the volatility. In this article, we study our presented model as a new …

Instability and excessive volatilities in the various financial and non-financial markets have
increased the importance of risk hedging in investments. So in this paper, the hypothetical …

This paper proposes a stochastic volatility model based on the Cox-Ingersoll-Ross process
for stock market modeling. We derive a semi-analytical solution of the higher order moments …

The rough Heston model has recently attracted the attention of many finance practitioners
and researchers as it maintains the basic structure of the classical Heston model while …

In this work, we study the existence and uniqueness of the solution to a fractional version of
the Cox–Ingersoll–Ross (fCIR) stochastic differential equation. The strong convergence of …