Mendes, Rui VilelaOliveira, Maria JoãoRodrigues, A. M.2015-03-202016-03-012015-02Mendes, 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. 470-4780378-4371http://hdl.handle.net/10400.2/3787When 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.engFractional noiseArbitrageMarket completenessjournal article10.1016/j.physa.2014.10.056