Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
نویسندگان
چکیده
منابع مشابه
Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a f...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2017
ISSN: 1945-497X
DOI: 10.1137/15m1036749