A data-reconstructed fractional volatility model

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dc.creatorMendes, Rui Vilela
dc.creatorOliveira, M. J.
dc.date2006-02-01
dc.date2007-06-26
dc.date.accessioned2026-07-07T12:07:17Z
dc.date.available2026-07-07T12:07:17Z
dc.descriptionBased on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained
dc.description19 pages, 7 figures
dc.identifierhttps://arxiv.org/abs/math/0602013
dc.identifierhttp://arxiv.org/abs/math/0602013
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208916
dc.subjectProbability
dc.subjectOther Condensed Matter
dc.subjectStatistics Theory
dc.subjectStatistical Finance
dc.titleA data-reconstructed fractional volatility model
dc.typetext

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