THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
From MaRDI portal
Abstract: The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
Recommendations
Cites work
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- Arbitrage with Fractional Brownian Motion
- Empirical properties of asset returns: stylized facts and statistical issues
- Financial engineering and computation. Principles, mathematics, algorithms
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Heat equations with fractional white noise potentials
- Hedging options in market models modulated by the fractional Brownian motion
- scientific article; zbMATH DE number 1091847 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Long memory in continuous-time stochastic volatility models
- Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations
- No-arbitrage, leverage and completeness in a fractional volatility model
- Perfect simulation of infinite range Gibbs measures and coupling with their finite range approximations
- Perpetual American options with fractional Brownian motion
- Pricing under rough volatility
- Stochastic analysis of the fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic calculus with respect to Gaussian processes
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic volatility and fractional Brownian motion
- The detection and estimation of long memory in stochastic volatility
- The pricing of options and corporate liabilities
- Volatility is rough
Cited in
(20)- The sub-fractional CEV model
- Long versus short time scales: the rough dilemma and beyond
- From rough to multifractal volatility: the log S-fBm model
- Delta-hedging in fractional volatility models
- CVA in fractional and rough volatility models
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- Buy rough, sell smooth
- Calibrating rough volatility models: a convolutional neural network approach
- Volatility options in rough volatility models
- The characteristic function of rough Heston models
- A regularity structure for rough volatility
- Fractional-moment capital asset pricing model
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
- Reconstructing volatility: Pricing of index options under rough volatility
- Rough volatility via the Lamperti transform
- Wiener Spiral for Volatility Modeling
- Implied roughness in the term structure of oil market volatility
- Pricing European options and portfolio optimization under the sub-mixed fractional Brownian motion model
- A fractional calculus interpretation of the fractional volatility model
This page was built for publication: THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6095480)
