Affine fractional stochastic volatility models
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Publication:470522
DOI10.1007/S10436-010-0165-3zbMATH Open1298.60067OpenAlexW2028867268MaRDI QIDQ470522FDOQ470522
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Cited in
(71)- Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
- Stochastic volatility models with volatility driven by fractional Brownian motions
- Estimation and pricing under long-memory stochastic volatility
- 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
- Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
- Market calibration under a long memory stochastic volatility model
- American options in the Volterra Heston model
- Estimation of long memory in integrated variance
- Option pricing under fast-varying long-memory stochastic volatility
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Volatility is rough
- Long memory in continuous-time stochastic volatility models
- Pricing under rough volatility
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- A generalization of the Hull and White formula with applications to option pricing approximation
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- On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
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- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
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- Large deviation principle for Volterra type fractional stochastic volatility models
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- Asymptotic behaviour of randomised fractional volatility models
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Asymptotics for Rough Stochastic Volatility Models
- Black-Scholes in a CEV random environment
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
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- Does the Hurst index matter for option prices under fractional volatility?
- CVA in fractional and rough volatility models
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- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Goodness of fit assessment for a fractal model of stock markets
- Gaussian and hermite Ornstein–Uhlenbeck processes
- Delta-hedging in fractional volatility models
- Large and moderate deviations for stochastic Volterra systems
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Inhomogeneous affine Volterra processes
- Asymptotic theory for rough fractional Vasicek models
- Stochastic volatility models for ordinal-valued time series with application to finance
- Estimation of the volatility persistence in a discretely observed diffusion model
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
- Affine forward variance models
- Option pricing in sandwiched Volterra volatility model
- An Econometric Analysis of Volatility Discovery
- Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
- Sandwiched SDEs with unbounded drift driven by Hölder noises
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- Robustness and sensitivity analyses of rough Volterra stochastic volatility models
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- Affine Heston model style with self-exciting jumps and long memory
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
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