No-arbitrage, leverage and completeness in a fractional volatility model

DOI10.1016/j.physa.2014.10.056zbMath1402.91533arXiv1205.2866OpenAlexW2130252893MaRDI QIDQ1783279

G. Richomme

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2866

zbMATH Keywords

arbitragemarket completenessfractional noise

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (7)

Arbitrage with fractional Gaussian processes ⋮ Asymptotic Behavior of the Fractional Heston Model ⋮ THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ From Market Data to Agent-Based Models and Stochastic Differential Equations

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