Option pricing under fast‐varying long‐memory stochastic volatility
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Publication:5743117
DOI10.1111/mafi.12186zbMath1411.91556arXiv1604.00105OpenAlexW2962913958WikidataQ129380128 ScholiaQ129380128MaRDI QIDQ5743117
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.00105
Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Forecasting with fractional Brownian motion: a financial perspective ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ Wiener Spiral for Volatility Modeling ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models
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