Does the Hurst index matter for option prices under fractional volatility? (Q525208): Difference between revisions
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Latest revision as of 19:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Does the Hurst index matter for option prices under fractional volatility? |
scientific article |
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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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