Resource title

A Data-Reconstructed Fractional Volatility Model

Resource image

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Resource description

Based 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.

Resource author

Rui Vilela Mendes, Maria J. Oliveira

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/17994

Resource license

Adapt according to the presented license agreement and reference the original author.