Does the Hurst index matter for option prices under fractional volatility? (Q525208): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10436-016-0289-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2566942285 / rank | |||
Normal rank | |||
Latest revision as of 19:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Does the Hurst index matter for option prices under fractional volatility? |
scientific article |
Statements
Does the Hurst index matter for option prices under fractional volatility? (English)
0 references
28 April 2017
0 references
fractional Brownian motion
0 references
Hurst index
0 references
stochastic volatility
0 references
mean-reverting process
0 references
implied volatility
0 references
