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A data-reconstructed fractional volatility model
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Fractional noise Induced volatility Statistics of returns Option pricing
Contexto Educativo
Citação
Mendes, Rui Vilela; Oliveira, Maria João - A data-reconstructed fractional volatility model. "Economics [Em linha] : the open-access, open-assessment E-journal: discussion paper". ISSN 1864-6042. Nº 22 (2008), p. 1-20