Stochastic volatility and option pricing with long-memory in discrete and continuous time

DOI10.1080/14697688.2012.664939zbMath1278.91112OpenAlexW2022178019MaRDI QIDQ2873036

Alexandra Chronopoulou, Frederi G. Viens

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10.1080/14697688.2012.664939

zbMATH Keywords

estimationstochastic volatilityoption pricinglong memoryparticle filteringmultinomial tree

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (31)

Gaussian and hermite Ornstein–Uhlenbeck processes ⋮ Exogenous and endogenous price jumps belong to different dynamical classes ⋮ The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Sequential Monte Carlo for fractional stochastic volatility models ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ Least squares estimations for approximate fractional vasicek model driven by a semimartingale ⋮ Delta-hedging in fractional volatility models ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ Parameter estimation for long-memory stochastic volatility at discrete observation ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Statistical inference for Vasicek-type model driven by Hermite processes ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model ⋮ Statistical inference for nonergodic weighted fractional Vasicek models ⋮ Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

Uses Software

• longmemo

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Econometric estimation in long-range dependent volatility models: theory and practice
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Long-range dependence in the conditional variance of stock returns
• The detection and estimation of long memory in stochastic volatility
• Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Optimal approximation of SDE's with additive fractional noise
• Long memory in continuous-time stochastic volatility models
• THE GARCH OPTION PRICING MODEL
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• MEAN-REVERTING STOCHASTIC VOLATILITY
• An Intertemporal General Equilibrium Model of Asset Prices
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

This page was built for publication: Stochastic volatility and option pricing with long-memory in discrete and continuous time