A Data-Reconstructed Fractional Volatility Model
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," CORE Discussion Papers 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Juuso Toyli & Marko Sysi-aho & Kimmo Kaski, 2004. "Models of asset returns: changes of pattern from high to low event frequency," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 373-382.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.),Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
- Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 183-204, April.
- R. F. Engle & A. J. Patton, 2001. "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 237-245.
- Fabienne Comte & Eric Renault, 1998.
"Long memory in continuous‐time stochastic volatility models,"
Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323, October.
- Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
- Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Y. Malevergne & V. Pisarenko & D. Sornette, 2005.
"Empirical distributions of stock returns: between the stretched exponential and the power law?,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 379-401.
- Yannick Malevergne & Vladilen Pisarenko & Didier Sornette, 2005. "Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law?," Post-Print hal-02311833, HAL.
- 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.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- R. Vilela Mendes & R. Lima & T. Araujo, 2001. "A process-reconstruction analysis of market fluctuations," Papers cond-mat/0102301, arXiv.org.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
- 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.
- Silva, A. Christian & Prange, Richard E. & Yakovenko, Victor M., 2004.
"Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 227-235.
- A. Christian Silva & Richard E. Prange & Victor M. Yakovenko, 2004. "Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact," Papers cond-mat/0401225, arXiv.org, revised Jul 2004.
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Harms, Philipp & Stefanovits, David, 2019. "Affine representations of fractional processes with applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1185-1228.
- Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Aug 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.
- Philipp Harms & David Stefanovits, 2015. "Affine representations of fractional processes with applications in mathematical finance," Papers 1510.04061, arXiv.org, revised Feb 2018.
- Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015. "No-arbitrage, leverage and completeness in a fractional volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.
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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2008-06-13 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:ifwedp:7284. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - Leibniz Information Centre for Economics). General contact details of provider: http://edirc.repec.org/data/iwkiede.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.