Delta-hedging in fractional volatility models
Author:
Funder
Directorate for Mathematical and Physical Sciences
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
https://link.springer.com/content/pdf/10.1007/s10436-022-00415-w.pdf
Reference27 articles.
1. Bayer, C., Friz, P., Gatheral, J.: Pricing under rough volatility. Quant Finance 16(6), 887–904 (2016)
2. Beran, J., Feng, Y., Ghosh, S., Kulik, R.: Long-Memory Processes: Probabilistic Properties and Statistical Methods. Springer, Berlin (2013)
3. Beskos, A., Dureau, J., Kalogeropoulos, K.: Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion. Biometrika 102(4), 809–827 (2015)
4. Bezborodov, V., Di Persio, L., Mishura, Y.: Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Methodol Comput Appl Probab 21(1), 331–366 (2019)
5. Breidt, F.J., Crato, N., De Lima, P.: The detection and estimation of long-memory in stochastic volatility. J Econom 83, 325–348 (1998)
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