Option pricing with fractional volatility
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.
Year of publication: |
2004-04
|
---|---|
Authors: | Mendes, Rui Vilela ; Oliveira, Maria Joao |
Institutions: | arXiv.org |
Saved in:
freely available
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