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On the curvature of the bachelier implied volatility

Alòs, Elisa; García Lorite, David - In: Risks : open access journal 13 (2025) 2, pp. 1-19

and the correlation parameter. Our analysis does not need the volatility to be Markovian and can be applied to the case of … fractional volatility models, both with H < 1/2 and H > 1/2. More precisely, we start our analysis with an adequate decomposition …

Persistent link: https://www.econbiz.de/10015333743

Multifractional stochastic volatility models

Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 364-402

Persistent link: https://www.econbiz.de/10010357370

E-strong simulation of fractional brownian motion and related stochastic differential equations

Chen, Yi; Dong, Jing; Ni, Hao - In: Mathematics of operations research 46 (2021) 2, pp. 559-594

Persistent link: https://www.econbiz.de/10012582184

Volatility is rough

Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023

Persistent link: https://www.econbiz.de/10014366596

CDS pricing with long memory via fractional Lévy processes

Fink, Holger Maria; Scherr, Christian - In: Journal of financial engineering 1 (2014) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10010507970

On stocks and interest rates modeling in long-range dependent environment

Melnikov, Alexander; Mišura, Julija S. - In: Risk and decision analysis 5 (2014) 4, pp. 177-187

Persistent link: https://www.econbiz.de/10011286251

Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian motion

Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598

Persistent link: https://www.econbiz.de/10011987969

Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

Flint, Emlyn; Maré, Eben - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011773296

Financial markets with no riskless (safe) asset

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24

Persistent link: https://www.econbiz.de/10011787424

Pricing derivatives with fractional volatility

Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011673129

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