Does the Hurst index matter for option prices under fractional volatility?
Year of publication: |
February 2017
|
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Authors: | Funahashi, Hideharu ; Kijima, Masaaki |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 13.2017, 1, p. 55-74
|
Subject: | Fractional Brownian motion | Hurst index | Stochastic volatility | Mean-reverting process | Implied volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index |
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