Browsing by Author "Rodrigues, A. M."
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- The fractional volatility model : no-arbitrage, leverage and completenessPublication . Mendes, Rui Vilela; Oliveira, Maria João; Rodrigues, A. M.When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.