Option pricing with fractional volatility

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dc.creatorMendes, Rui Vilela
dc.creatorOliveira, Maria Joao
dc.date2004-04-28
dc.date.accessioned2026-07-07T12:06:57Z
dc.date.available2026-07-07T12:06:57Z
dc.descriptionBased 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.
dc.description17 pages Latex, 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0404684
dc.identifierhttp://arxiv.org/abs/cond-mat/0404684
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208808
dc.subjectOther Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectPricing of Securities
dc.titleOption pricing with fractional volatility
dc.typetext

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