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Paper Information

Journal:   MATHEMATICAL SCIENCES   December 2018 , Volume 12 , Number 4; Page(s) 277 To 283.

Computational technique for simulating variable‑ order fractional Heston model with application in US stock market

Author(s):  Salamat Mostaghim Zeinab, Parsa Moghaddam Behrouz*, Samimi Haghgozar Hossein
* Department of Mathematics, Lahijan AzadUniversity, Lahijan, Iran
In this paper, a numerical technique is developed to discretize variable-order fractional Heston differential equation. The proposed strategy is followed by an optimization technology, genetic algorithm, for tuning the unknown parameters in the proposed model. The performance of the model is analyzed to profit and loss 500 close index from the US stock markets. Simulations illustrate the application of the proposed technique.
Keyword(s): Fractional calculus,Stochastic calculus,Computational techniques,Optimization,Variable-order fractional Heston model,Stock price
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