Correction to Black-Scholes formula due to fractional stochastic volatility (Q4607044)
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scientific article; zbMATH DE number 6849032
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| English | Correction to Black-Scholes formula due to fractional stochastic volatility |
scientific article; zbMATH DE number 6849032 |
Statements
Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (English)
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12 March 2018
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stochastic volatility
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implied volatility
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fractional Brownian motion
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long-range dependence
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0.8354317545890808
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0.797220766544342
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0.7863068580627441
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0.7694225311279297
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