scientific article; zbMATH DE number 6118087

MaRDI QIDQ3145661zbMATH OpenFDO

Authors Hoang Thi Phuong Thao, Tran Hung Thao

Publication date 21 December 2012

Full work available at URL http://www.m-hikari.com/ijcms/ijcms-2012/37-40-2012/index.html

zbMATH Keywords

\(L^2\)-approximationfractional stochastic volatilitypoint processstate estimation

Mathematics Subject Classification ID

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

Cited in

(3)

• Delta-hedging in fractional volatility models
• Short-time at-the-money skew and rough fractional volatility
• Calibrating fractional Vasicek model

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