Volatility is rough (Q4554473)
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scientific article; zbMATH DE number 6979504
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Volatility is rough |
scientific article; zbMATH DE number 6979504 |
Statements
Volatility is rough (English)
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14 November 2018
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high frequency data
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volatility smoothness
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fractional Brownian motion
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fractional Ornstein-Uhlenbeck
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long memory
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volatility persistence
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volatility forecasting
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option pricing
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volatility surface
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0.8360031247138977
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0.834976851940155
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0.8325530886650085
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0.8319668173789978
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0.8066650629043579
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