Volatility is rough (Q4554473): Difference between revisions
From MaRDI portal
Latest revision as of 09:04, 17 July 2024
scientific article; zbMATH DE number 6979504
Language | Label | Description | Also known as |
---|---|---|---|
English | Volatility is rough |
scientific article; zbMATH DE number 6979504 |
Statements
Volatility is rough (English)
0 references
14 November 2018
0 references
high frequency data
0 references
volatility smoothness
0 references
fractional Brownian motion
0 references
fractional Ornstein-Uhlenbeck
0 references
long memory
0 references
volatility persistence
0 references
volatility forecasting
0 references
option pricing
0 references
volatility surface
0 references
0 references
0 references
0 references
0 references