Wiener Spiral for Volatility Modeling

DOI10.1137/S0040585X97T991581OpenAlexW4388453503MaRDI QIDQ6090352FDOQ6090352

Authors: Masaaki Fukasawa 

Publication date: 14 November 2023

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t991581

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zbMATH Keywords

fractional Brownian motionleverage effectimplied volatility

Mathematics Subject Classification ID

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

Cites Work

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• Volatility has to be rough
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

Cited In (1)

• A partial rough path space for rough volatility

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