{"paper":{"title":"Option pricing in fractional Heston-type model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Anton Yurchenko-Tytarenko, Yuliya Mishura","submitted_at":"2019-07-03T10:51:27Z","abstract_excerpt":"In this paper, we consider option pricing in a framework of the fractional Heston-type model with $H>1/2$. As it is impossible to obtain an explicit formula for the expectation $\\mathbb E f(S_T)$ in this case, where $S_T$ is the asset price at maturity time and $f$ is a payoff function, we provide a discretization schemes $\\hat Y^n$ and $\\hat S^n$ for volatility and price processes correspondingly and study convergence $\\mathbb E f(\\hat S^n_T) \\to \\mathbb E f(S_T)$ as the mesh of the partition tends to zero. The rate of convergence is calculated. As we allow $f$ to have discontinuities of the "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1907.01846","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}