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Wang, Y. and Bai, Y. (2025) European Option Pricing under the Approximate Fractional Heston Jump-Diffusion Model with a Stochastic Long-Term Mean. Alexandria Engineering Journal, 123, 145-156.
https://doi.org/10.1016/j.aej.2025.03.045

has been cited by the following article:

• TITLE: Real Options Assessment in the Time-Fractional Heston Model with Jump and Inertia

  AUTHORS: Ngoyi Landu Tresor, René Gilles Bokolo, Mabela Rostin, Walo Omana

  KEYWORDS: Real Options, Time-Fractional Heston Model, Jump, Inertia, Stopping Times, Caputo Fractional Derivative, Viscosity Solutions

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.13 No.6, June 12, 2025

  ABSTRACT: This research addresses the assessment of real options via the time-fractional Heston model, which takes into account jumps and inertia. First, we examine the existence and uniqueness of viscosity solutions leveraging the continuous model reformulated as a time-fractional Hamilton-Jacobi-Bellman (HJB) equation using Caputo fractional derivative and Rellich-Kondrachov compactness theorem. Secondly, we present a higher-order regularity result stylized with Sobolev embeddings and Caputo fractional derivative expressed using the Duhamel principle. Third, we investigate some well-known discrete approaches proving the backward martingale convergence theorem with the Caputo time-fractional derivative being approximated using the Grünwald-Letnikov scheme. Finally, we show the existence of Nash-equilibrium solution for the pricing of real options with both two players and two stopping times, which results in lengthy implications for risk management and strategic decision making.