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Affine fractional stochastic volatility models

Author

Listed:
  • F. Comte

    ()

  • L. Coutin

    ()

  • E. Renault

    ()

Abstract

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Suggested Citation

  • F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
  • Handle: RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378 DOI: 10.1007/s10436-010-0165-3
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    References listed on IDEAS

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    1. Sundaresan, S.M., 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Papers 00-03, Columbia - Graduate School of Business.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    4. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    5. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    6. Soku Byoun & Chuck C. Y. Kwok & Hun Y. Park, 2003. "Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 126-151.
    7. Pastorello, Sergio & Renault, Eric & Touzi, Nizar, 2000. "Statistical Inference for Random-Variance Option Pricing," Journal of Business & Economic Statistics, American Statistical Association, pages 358-367.
    8. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(01), pages 44-79, February.
    9. Bollerslev, Tim & Ole Mikkelsen, Hans, 1999. "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, vol. 92(1), pages 75-99, September.
    10. Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 636-670.
    11. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
    12. Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 399-412.
    13. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    14. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    15. Campa, Jose Manuel & Chang, P H Kevin, 1995. " Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options," Journal of Finance, American Finance Association, vol. 50(2), pages 529-547, June.
    16. Philippe Carmona & Laure Coutin & G. Montseny, 2000. "Approximation of Some Gaussian Processes," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 161-171, January.
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    Citations

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    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2017. "Probability density of lognormal fractional SABR model," Papers 1702.08081, arXiv.org.
    3. Zhigang Tong, 2016. "Option pricing in stochastic volatility models driven by fractional Lévy processes," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 56-75.
    4. Martin Forde & Hongzhong Zhang, 2016. "Asymptotics for rough stochastic volatility models," Papers 1610.08878, arXiv.org.
    5. repec:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1 is not listed on IDEAS
    6. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 0808. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
    8. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
    9. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
    10. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    11. repec:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x is not listed on IDEAS
    12. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jul 2017.

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