The fractional volatility model and rough volatility
Fuente:
arXiv
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2022
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866916479554813952 |
|---|---|
| author | Mendes, R. Vilela |
| author_facet | Mendes, R. Vilela |
| contents | The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2206_02205 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | The fractional volatility model and rough volatility Mendes, R. Vilela General Finance Probability The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained. |
| title | The fractional volatility model and rough volatility |
| topic | General Finance Probability |
| url | https://arxiv.org/abs/2206.02205 |