MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS

DOI10.1111/mafi.12024zbMath1295.91083OpenAlexW2172154319MaRDI QIDQ5416706

Sylvain Corlay, Jacques Lévy-Véhel, Joachim Lebovits

Publication date: 14 May 2014

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

Full work available at URL: https://hal.inria.fr/hal-00653150/file/Multifractional_Stochastic_Volatility_Models_Corlay_Lebovits_Levy-Vehel_new_version.pdf

zbMATH Keywords

fractional Brownian motionGaussian processstochastic differential equationsmultifractional Brownian motionvector quantizationS-transformHull-White modelKarhunen-Loèvewhite noise theoryfunctional quantizationWick-Itō integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) White noise theory (60H40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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