Volatility is rough (Q4554473): Difference between revisions

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Revision as of 01:10, 20 March 2024

scientific article; zbMATH DE number 6979504
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English
Volatility is rough
scientific article; zbMATH DE number 6979504

    Statements

    Volatility is rough (English)
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    14 November 2018
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    high frequency data
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    volatility smoothness
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    fractional Brownian motion
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    fractional Ornstein-Uhlenbeck
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    long memory
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    volatility persistence
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    volatility forecasting
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    option pricing
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    volatility surface
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