Option pricing under fast‐varying long‐memory stochastic volatility
From MaRDI portal
Publication:5743117
DOI10.1111/mafi.12186zbMath1411.91556arXiv1604.00105OpenAlexW2962913958MaRDI QIDQ5743117
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.00105
Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Forecasting with fractional Brownian motion: a financial perspective ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ Wiener Spiral for Volatility Modeling ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Analytically tractable stochastic stock price models.
- Affine fractional stochastic volatility models
- Estimation and pricing under long-memory stochastic volatility
- Asymptotic analysis for stochastic volatility: martingale expansion
- A representation for self-similar processes
- Long-term equity anticipation securities and stock market volatility dynamics
- The detection and estimation of long memory in stochastic volatility
- Fractional {O}rnstein-{U}hlenbeck processes
- Maturity cycles in implied volatility
- No-arbitrage, leverage and completeness in a fractional volatility model
- Measuring anti-correlations in the nordic electricity spot market by wavelets
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- A note on Wick products and the fractional Black-Scholes model
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Long memory in continuous-time stochastic volatility models
- On fractional Ornstein-Uhlenbeck processes
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Asymptotics for Rough Stochastic Volatility Models
- A fractional Heston model with
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Analysis, Geometry, and Modeling in Finance
- Arbitrage with Fractional Brownian Motion
- Asymptotic Behavior of the Fractional Heston Model
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
- Empirical properties of asset returns: stylized facts and statistical issues
- What good is a volatility model?
- Pricing under rough volatility
- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: Option pricing under fast‐varying long‐memory stochastic volatility
