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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Fractional noise Arbitrage Market completeness
Contexto Educativo
Citação
Mendes, Rui Vilela; Oliveira, Maria João; Rodrigues, A. M. - The fractional volatility model : no-arbitrage, leverage and completeness. "Physica A" [Em linha]. ISSN 0378-4371. Vol. 419 (fev. 2015), p. 470-478
Editora
Elsevier
