Volatility is rough
J. Gatheral, T. Jaisson, M. Rosenbaum
Year of publication: |
2023
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Authors: | Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu |
Published in: |
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference. - New Jersey : World Scientific, ISBN 978-981-12-5586-1. - 2023, p. 127-172
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Subject: | high frequency data | volatility smoothness | fractional Brownian motion | fractional Ornstein-Uhlenbeck | long memory | volatility persistence | volatility forecasting | option pricing | volatility surface | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
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