Option pricing with fractional volatility

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Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
17 pages Latex, 2 figures

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Other Condensed Matter, Statistical Mechanics, Pricing of Securities

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http://salesiana.dossiersoluciones.com/handle/123456789/208808

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0404684
 http://arxiv.org/abs/cond-mat/0404684

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arXiv