Pricing derivatives with fractional volatility
Year of publication: |
March 2017
|
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Authors: | Funahashi, Hideharu |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-28
|
Subject: | Asian option | fractional Brownian motion | stochastic volatility model | mean-reverting process | hurst index | volatility persistence | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative |
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