Fractional stochastic volatility correction to CEV implied volatility

DOI10.1080/14697688.2020.1812703zbMATH Open1479.91403OpenAlexW3094262720MaRDI QIDQ5014189FDOQ5014189

Authors: Hyun-Gyoon Kim, Se-Jin Kwon, Jeong-Hoon Kim 

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1812703

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zbMATH Keywords

option pricingimplied volatilityconstant elasticity of variancefractional stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• The pricing of options and corporate liabilities
• Fractional Brownian Motions, Fractional Noises and Applications
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional {O}rnstein-{U}hlenbeck processes
• On fractional Ornstein-Uhlenbeck processes
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Volatility is rough
• Option pricing under hybrid stochastic and local volatility
• A General Fractional White Noise Theory And Applications To Finance
• Equivalent Black volatilities
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Asymptotic behavior of the fractional Heston model

Cited In (6)

• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
• A stochastic-local volatility model with Lévy jumps for pricing derivatives
• A delayed stochastic volatility correction to the constant elasticity of variance model
• Stochastic elasticity of variance with stochastic interest rates
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Does the Hurst index matter for option prices under fractional volatility?

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