Does the Hurst index matter for option prices under fractional volatility? (Q525208): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6708896 / rank | |||
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fractional Brownian motion | |||
| Property / zbMATH Keywords: fractional Brownian motion / rank | |||
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Hurst index | |||
| Property / zbMATH Keywords: Hurst index / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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mean-reverting process | |||
| Property / zbMATH Keywords: mean-reverting process / rank | |||
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implied volatility | |||
| Property / zbMATH Keywords: implied volatility / rank | |||
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Revision as of 07:26, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Does the Hurst index matter for option prices under fractional volatility? |
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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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