A Data-Reconstructed Fractional Volatility Model
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Jan 2018.
- Li Meng & Mei Wang, 2010. "Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 99-111, June.
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More about this item
KeywordsFractional noise; induced volatility; statistics of returns; option pricing;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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