Pages that link to "Item:Q470522"
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The following pages link to Affine fractional stochastic volatility models (Q470522):
Displayed 50 items.
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) (Q887245) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (Q1643803) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Parameter estimation for long-memory stochastic volatility at discrete observation (Q1724169) (← links)
- Asymptotic theory for rough fractional Vasicek models (Q1738407) (← links)
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
- Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (Q2059103) (← links)
- Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (Q2062455) (← links)
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← links)
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets (Q2110494) (← links)
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models (Q2111244) (← links)
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean (Q2167326) (← links)
- Affine Volterra processes (Q2286463) (← links)
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- Delta-hedging in fractional volatility models (Q2694770) (← links)
- Generalized fractional Lévy processes with fractional Brownian motion limit (Q2786429) (← links)
- Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
- Sequential Monte Carlo for fractional stochastic volatility models (Q4554435) (← links)
- Volatility is rough (Q4554473) (← links)
- On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions (Q4560339) (← links)
- Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (Q4629570) (← links)
- Stochastic volatility models for ordinal-valued time series with application to finance (Q4970906) (← links)
- DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
- Pricing under rough volatility (Q5001177) (← links)
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion (Q5080070) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Estimation of Long Memory in Integrated Variance (Q5080471) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model (Q5218384) (← links)