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math.ST2025
Hybrid estimation for a mixed fractional Black-Scholes model with random effects from discrete time observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time ob…
math.ST2025
Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calib…