Affine fractional stochastic volatility models

DOI10.1007/s10436-010-0165-3zbMath1298.60067MaRDI QIDQ470522

J. Herrera, Sumit K. Garg

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0165-3

zbMATH Keywords

stochastic volatility; option pricing; long memory processes; fractional integrals; integrated volatility

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

62M09: Non-Markovian processes: estimation

91B70: Stochastic models in economics

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

91G20: Derivative securities (option pricing, hedging, etc.)