Option pricing under fast-varying long-memory stochastic volatility-Reference-Cited by-同舟云学术

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Option pricing under fast-varying long-memory stochastic volatility

Published:2018-08-09 Issue:1 Volume:29 Page:39-83
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Garnier Josselin¹,Sølna Knut²

Affiliation:

1. Centre de Mathématiques Appliquées; Ecole Polytechnique; Palaiseau France

2. Department of Mathematics; University of California; Irvine California

Funder

Centre Cournot

Fondation Cournot

Université Paris-Saclay

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12186/fullpdf

Reference56 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance and Stochastics,2007

2. A fractional Heston model with H>1/2;Alòs;Stochastics,2017

3. Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche mark options;Bates;Review of Financial Studies,1996

4. Pricing under rough volatility;Bayer;Quantitative Finance,2016

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2. A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model;Computational and Applied Mathematics;2023-08-29

3. Wiener spiral for volatility modeling;Teoriya Veroyatnostei i ee Primeneniya;2023

4. Relationship between ETFs and underlying indices: a fractional cointegration approach;Applied Economics;2022-08-09

5. Forecasting with fractional Brownian motion: a financial perspective;Quantitative Finance;2022-05-20

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