Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model - Lee, Min-Ku; Kim, Jeong-Hoon (Advances in continuous and discrete models, 2025)
Keywords: Accuracy; Analysis; Approximation; Arbitrage; Brownian motion; Default; Difference and Functional Equations; Functional Analysis; Mathematics; Mathematics and Statistics; Monte Carlo simulation; Ordinary Differential Equations; Parameter sensitivity; Partial Differential Equations; Securities prices; Stochastic models; Volatility; Stochastic volatility; Option pricing; Fractional Brownian motion; Multiscale; Default risk