Publication
A data-reconstructed fractional volatility model
| dc.contributor.author | Mendes, Rui Vilela | |
| dc.contributor.author | Oliveira, Maria João | |
| dc.date.accessioned | 2011-01-14T16:16:20Z | |
| dc.date.available | 2011-01-14T16:16:20Z | |
| dc.date.issued | 2008 | |
| dc.description.abstract | 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. | por |
| dc.identifier.citation | 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 | por |
| dc.identifier.issn | 1864-6042 | |
| dc.identifier.uri | http://hdl.handle.net/10400.2/1711 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.relation.publisherversion | http://www.economics-ejournal.org/economics/discussionpapers/2008-22 | por |
| dc.subject | Fractional noise | por |
| dc.subject | Induced volatility | por |
| dc.subject | Statistics of returns | por |
| dc.subject | Option pricing | por |
| dc.title | A data-reconstructed fractional volatility model | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Germany | por |
| oaire.citation.endPage | 20 | por |
| oaire.citation.startPage | 1 | por |
| oaire.citation.title | Economics: the open-access, open-assessment E-journal: discussion papers | 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 |