A data-reconstructed fractional volatility model
概率论
2008-12-02 v2 其他凝聚态物理
统计理论
统计金融
统计理论
摘要
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained
引用
@article{arxiv.math/0602013,
title = {A data-reconstructed fractional volatility model},
author = {Rui Vilela Mendes and M. J. Oliveira},
journal= {arXiv preprint arXiv:math/0602013},
year = {2008}
}
备注
19 pages, 7 figures