Calibrating fractional Vasicek model

DOI10.1080/03610926.2021.1994609MaRDI QIDQ6169355zbMATH OpenOpenAlexFDO

Authors Yuecai Han, Nan Li

Publication date 11 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1994609

zbMATH Keywords

fractional Vasicek modelHurst indexparameter estimationrough fractional stochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Volatility is rough
• Zero-intelligence realized variance estimation.

Cited in

(1)

• Statistical inference of the complex fractional Vasicek model with Hurst index H∈(0,12)

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