European option pricing under a generalized fractional Brownian motion Heston exponential Hull–White model with transaction costs by the Deep Galerkin Method

We propose a new financial model called the generalized fractional Brownian motion Heston exponential Hull–White model, which has stochastic volatility and interest rate, long memory, and heavy tail distribution. Based on the market price of the volatility and delta hedging strategies, we propose a...

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