This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive numerical experiments, we confirm that the...

RECENT ADVANCES IN FINANCIAL Proceedings of the 2008 Daiwa International Workshop on Financial Engineering CONTENTS Preface v Program ...

This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the...

Intro -- CONTENTS -- PREFACE -- PROGRAM -- The Distribution of Returns at Longer Horizons -- 1. Introduction -- 2. Preliminary Evidence on Scaling and Accumulating i.i.d. Variates -- 3. Combining the Accumulation of i.i.d. Variates with Scaling -- 4. Estimating the Scaling Coefficients c, γ --...