The independent solution performing a FRFT

In the following, we postulate independent sources of uncertainty determined by 

Together with a change in the variable t — To — t and the volatility function (5.21), we obtain the new ODE 

The solutions of this differential equations can be derived in closed-form given by  

by plugging the solution (7.10) in the second ODE (7.7) and solving the integral equation we find 

Finally, we analyze the impact of the stochastic volatility on the price of an option on a discount bond. Therefore, we compare the option price coming from a traditional HIM model given the average variance with 

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