The value of expected return persistence

DOI10.1007/S10436-023-00428-ZMaRDI QIDQ6146134zbMATH OpenOpenAlexFDO

Authors Wolfgang Schadner, Sebastian Lang

Publication date 10 January 2024

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-023-00428-z

zbMATH Keywords

fractal Brownian motionimplied volatilitylong range memoryreturn persistence

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A General Fractional White Noise Theory And Applications To Finance
• Fractional Brownian Motions, Fractional Noises and Applications
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• The pricing of options and corporate liabilities

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