Fractional stochastic volatility model (Q7025622)
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scientific article; zbMATH DE number 7986237
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fractional stochastic volatility model |
scientific article; zbMATH DE number 7986237 |
Statements
Fractional stochastic volatility model (English)
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19 February 2025
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fractional Brownian motion
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stochastic volatility
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long memory
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variance-covariance matrix
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spectral density
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rough volatility
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