Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044): Difference between revisions

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+.01175
@@ Property / arXiv ID: 1509.01175 / rank @@
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+Testing for jumps in a discretely observed process
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
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+Pricing under rough volatility
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+Computing the implied volatility in stochastic volatility models
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+Stochastic Calculus for Fractional Brownian Motion and Applications
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+Fractional {O}rnstein-{U}hlenbeck processes
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+Estimation and pricing under long-memory stochastic volatility
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+Stochastic volatility and option pricing with long-memory in discrete and continuous time
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+Affine fractional stochastic volatility models
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+Long memory in continuous-time stochastic volatility models
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+Q3396055
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+MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
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+An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
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+Q2778406
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+What good is a volatility model?
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+Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
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+Conditional Distributions of Processes Related to Fractional Brownian Motion
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+Asymptotics for Rough Stochastic Volatility Models
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+Q4509488
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+Singular Perturbations in Option Pricing
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Short-time at-the-money skew and rough fractional volatility
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+Volatility is rough
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+Asymptotic Behavior of the Fractional Heston Model
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+Extreme-strike asymptotics for general Gaussian stochastic volatility models
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+Analysis, Geometry, and Modeling in Finance
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On fractional Ornstein-Uhlenbeck processes
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Fractional Brownian Motions, Fractional Noises and Applications
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+No-arbitrage, leverage and completeness in a fractional volatility model
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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+The Estimation of Leverage Effect With High-Frequency Data
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