Stochastic volatility models with volatility driven by fractional Brownian motions

DOI10.4310/CIS.2015.v15.n1.a4zbMath1403.91264MaRDI QIDQ268815

Tyrone E. Duncan, Jacek Jakubowski, Bozenna Pasik-Duncan

Publication date: 15 April 2016

Published in: Communications in Information and Systems (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion; stochastic volatility; financial models

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories