The fractional volatility model and rough volatility
R. Vilela Mendes
| Year of publication: |
2023
|
|---|---|
| Authors: | Mendes, Rui Vilela |
| Subject: | fractional noise | rough volatility | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923500103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014365677