The fractional volatility model and rough volatility
General Finance
2024-11-15 v1 Probability
Abstract
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
Keywords
Cite
@article{arxiv.2206.02205,
title = {The fractional volatility model and rough volatility},
author = {R. Vilela Mendes},
journal= {arXiv preprint arXiv:2206.02205},
year = {2024}
}
Comments
13 pages latex, 4 figures. arXiv admin note: text overlap with arXiv:cond-mat/0404684