Fractional stochastic volatility correction to CEV implied volatility
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Publication:5014189
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Cites work
- A General Fractional White Noise Theory And Applications To Finance
- Asymptotic behavior of the fractional Heston model
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Equivalent Black volatilities
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional {O}rnstein-{U}hlenbeck processes
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- On fractional Ornstein-Uhlenbeck processes
- Option pricing under hybrid stochastic and local volatility
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Calculus for Fractional Brownian Motion and Applications
- The pricing of options and corporate liabilities
- Volatility is rough
Cited in
(7)- A novel term-structure-based Heston model for implied volatility surface
- Stochastic elasticity of variance with stochastic interest rates
- Correction to Black-Scholes formula due to fractional stochastic volatility
- A stochastic-local volatility model with Lévy jumps for pricing derivatives
- A delayed stochastic volatility correction to the constant elasticity of variance model
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
- Does the Hurst index matter for option prices under fractional volatility?
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