Publication
The fractional volatility model : no-arbitrage, leverage and completeness
| dc.contributor.author | Mendes, Rui Vilela | |
| dc.contributor.author | Oliveira, Maria João | |
| dc.contributor.author | Rodrigues, A. M. | |
| dc.date.accessioned | 2015-03-20T12:30:49Z | |
| dc.date.available | 2016-03-01T01:30:11Z | |
| dc.date.issued | 2015-02 | |
| dc.description.abstract | 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. | por |
| dc.identifier.citation | 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 | por |
| dc.identifier.doi | 10.1016/j.physa.2014.10.056 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.uri | http://hdl.handle.net/10400.2/3787 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Elsevier | por |
| dc.relation.publisherversion | http://www.sciencedirect.com/science/article/pii/S0378437114008942 | por |
| dc.subject | Fractional noise | por |
| dc.subject | Arbitrage | por |
| dc.subject | Market completeness | por |
| dc.title | The fractional volatility model : no-arbitrage, leverage and completeness | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 478 | por |
| oaire.citation.startPage | 470 | por |
| oaire.citation.title | Physica A: Statistical Mechanics and its Applications | por |
| oaire.citation.volume | 419 | por |
| person.familyName | Oliveira | |
| person.givenName | Maria João | |
| person.identifier.ciencia-id | DD1B-3964-2168 | |
| person.identifier.orcid | 0000-0002-4027-9849 | |
| person.identifier.scopus-author-id | 24473078000 | |
| rcaap.rights | openAccess | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | 73548978-4e91-4a20-bc3c-c62106297626 | |
| relation.isAuthorOfPublication.latestForDiscovery | 73548978-4e91-4a20-bc3c-c62106297626 |