Fractional stochastic volatility correction to CEV implied volatility (Q5014189): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/14697688.2020.1812703
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+W3094262720
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@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
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+The Pricing of Options and Corporate Liabilities
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+Fractional {O}rnstein-{U}hlenbeck processes
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+Option pricing under hybrid stochastic and local volatility
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+A General Fractional White Noise Theory And Applications To Finance
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
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+Volatility is rough
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+Asymptotic Behavior of the Fractional Heston Model
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+Equivalent Black volatilities
@@ Property / cites work: Equivalent Black volatilities / rank @@
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+On fractional Ornstein-Uhlenbeck processes
@@ Property / cites work: On fractional Ornstein-Uhlenbeck processes / rank @@
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@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
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@@ links / mardi / name / links / mardi / name @@
+Publication:5014189