Market calibration under a long memory stochastic volatility model
From MaRDI portal
Recommendations
- Estimation and pricing under long-memory stochastic volatility
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Long memory in continuous-time stochastic volatility models
- LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
- On calibration of stochastic and fractional stochastic volatility models
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Affine fractional stochastic volatility models
- An approximate approach to fractional analysis for finance
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Discrete time series, processes, and applications in finance.
- Empirical properties of asset returns: stylized facts and statistical issues
- Fast and realistic European ARCH option pricing and hedging
- Fractal Langevin equation
- Fractional Brownian Motions, Fractional Noises and Applications
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Integration with respect to fractal functions and stochastic calculus. I
- Long memory in continuous-time stochastic volatility models
- Long-memory processes. Probabilistic properties and statistical methods
- Modeling and pricing long memory in stock market volatility
- Modelling and forecasting noisy realized volatility
- Option pricing for a jump diffusion model with fractional stochastic volatility
- Option pricing with realistic ARCH processes
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic differential equations. An introduction with applications.
- Stochastic volatility, smile & asymptotics
- The detection and estimation of long memory in stochastic volatility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(10)- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
- Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility
- Calibration and simulation of Heston model
- Decomposition formula for jump diffusion models
- Decomposition formula for rough Volterra stochastic volatility models
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
- Isogeometric analysis in option pricing
- Challenges in automatic differentiation and numerical integration in physics-informed neural networks modelling
- Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model
- An inverse problem for calibrating the volatility in time fractional jump-diffusion option pricing model
This page was built for publication: Market calibration under a long memory stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4585681)
