Affine fractional stochastic volatility models
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Cites work
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 852306 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An Intertemporal General Equilibrium Model of Asset Prices
- Approximation of some processes
- Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
- Contingent claims and market completeness in a stochastic volatility model.
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
- Implied and realized volatility: empirical model selection
- Intégrale stochastique pour le mouvement brownien fractionnaire
- Long memory continuous time models
- Long memory in continuous-time stochastic volatility models
- Long-term equity anticipation securities and stock market volatility dynamics
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Semiparametric analysis of long-memory time series
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two singular diffusion problems
- Variation, jumps and high-frequency data in financial econometrics
Cited in
(84)- Moment explosions in the rough Heston model
- Large and moderate deviations for stochastic Volterra systems
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Nonparametric estimation of fractional option pricing model
- Portfolio Optimization in Fractional and Rough Heston Models
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Stochastic volatility models with volatility driven by fractional Brownian motions
- Affine forward variance models
- Robustness and sensitivity analyses of rough Volterra stochastic volatility models
- Stochastic volatility models for ordinal-valued time series with application to finance
- Sequential Monte Carlo for fractional stochastic volatility models
- Asymptotic behaviour of randomised fractional volatility models
- Assessing volatility persistence in fractional Heston models with self-exciting jumps
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- American options in the Volterra Heston model
- Option pricing under fast-varying long-memory stochastic volatility
- Black-Scholes in a CEV random environment
- A generalization of the Hull and White formula with applications to option pricing approximation
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
- Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
- Stochastic volatility modeling via mixed fractional Brownian motion
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- VIX pricing in the rBergomi model under a regime switching change of measure
- Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
- Affine Volterra processes
- Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation
- Volatility is rough
- Inhomogeneous affine Volterra processes
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Sandwiched SDEs with unbounded drift driven by Hölder noises
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Pricing of geometric Asian options in the Volterra-Heston model
- A multivariate stochastic volatility model with generalized factor dynamics
- Estimation of the volatility persistence in a discretely observed diffusion model
- Generalized fractional Lévy processes with fractional Brownian motion limit
- Asymptotic behavior of the fractional Heston model
- Large deviation principle for Volterra type fractional stochastic volatility models
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Estimation and pricing under long-memory stochastic volatility
- Asymptotics for Rough Stochastic Volatility Models
- Option pricing in sandwiched Volterra volatility model
- An Econometric Analysis of Volatility Discovery
- Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Fractional interacting particle system: drift parameter estimation via Malliavin calculus
- Nonparametric estimation from correlated copies of a drifted process
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
- Long memory in continuous-time stochastic volatility models
- Goodness of fit assessment for a fractal model of stock markets
- A fractional Heston model with \(H>1/2\)
- Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
- Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
- Sandwiched Volterra volatility model: Markovian approximations and hedging
- Decomposition formula for rough Volterra stochastic volatility models
- Option pricing under the fractional stochastic volatility model
- Pricing options under rough volatility with backward SPDEs
- Market calibration under a long memory stochastic volatility model
- Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
- The sub-fractional CEV model
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- A survey of rough volatility
- Gaussian and hermite Ornstein–Uhlenbeck processes
- On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
- A study of American options under stochastic volatility and double exponential jumps
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
- Delta-hedging in fractional volatility models
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
- Pathwise uniqueness for multiplicative Young and rough differential equations driven by fractional Brownian motion
- On the Discrete-Time Simulation of the Rough Heston Model
- Estimation of long memory in integrated variance
- Pricing under rough volatility
- CVA in fractional and rough volatility models
- Affine Heston model style with self-exciting jumps and long memory
- Asymptotic theory for rough fractional Vasicek models
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
- Does the Hurst index matter for option prices under fractional volatility?
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