Volatility is rough (Q4554473): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3124875579 / rank | |||
Normal rank |
Revision as of 01:10, 20 March 2024
scientific article; zbMATH DE number 6979504
Language | Label | Description | Also known as |
---|---|---|---|
English | Volatility is rough |
scientific article; zbMATH DE number 6979504 |
Statements
Volatility is rough (English)
0 references
14 November 2018
0 references
high frequency data
0 references
volatility smoothness
0 references
fractional Brownian motion
0 references
fractional Ornstein-Uhlenbeck
0 references
long memory
0 references
volatility persistence
0 references
volatility forecasting
0 references
option pricing
0 references
volatility surface
0 references