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

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6708896
@@ Property / zbMATH DE Number: 6708896 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fractional Brownian motion
@@ Property / zbMATH Keywords: fractional Brownian motion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hurst index
@@ Property / zbMATH Keywords: Hurst index / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-reverting process
@@ Property / zbMATH Keywords: mean-reverting process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+implied volatility
@@ Property / zbMATH Keywords: implied volatility / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-016-0289-1
+Normal rank
@@ Property / OpenAlex ID @@
+W2566942285
@@ Property / OpenAlex ID: W2566942285 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory continuous time models
@@ Property / cites work: Long memory continuous time models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis for stochastic volatility: martingale expansion
+Normal rank
@@ Property / cites work @@
+A chaos expansion approach under hybrid volatility models
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+Fractional Brownian motion, random walks and binary market models
+Normal rank
@@ Property / cites work @@
+Q4367302
@@ Property / cites work: Q4367302 / rank @@
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:525208