Does the Hurst index matter for option prices under fractional volatility? (Q525208): Difference between revisions

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Latest revision as of 17:31, 13 July 2024

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Does the Hurst index matter for option prices under fractional volatility?
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    Does the Hurst index matter for option prices under fractional volatility? (English)
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    28 April 2017
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    fractional Brownian motion
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    Hurst index
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    stochastic volatility
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    mean-reverting process
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    implied volatility
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