Volatility of volatility is (also) rough-Reference-Cited by-同舟云学术

Volatility of volatility is (also) rough

Published:2019-01-15 Issue:5 Volume:39 Page:600-611
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Da Fonseca José¹²^ORCID,Zhang Wenjun¹^ORCID

Affiliation:

1. Department of FinanceBusiness School, Auckland University of TechnologyAuckland New Zealand

2. Université Paris 1 Panthéon‐Sorbonne, PRISM SorbonneParis France

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21995

Reference10 articles.

1. Amblard P.‐O. Coeurjolly J.‐F. Lavancier F. &Philippe A.(2012). Basic properties of the multivariate fractional Brownian motion. ArXiv e‐prints.https://arxiv.org/pdf/1007.0828.pdf

2. Bennedsen M. Lunde A. &Pakkanen M. S.(2017). Decoupling the short‐ and long‐term behavior of stochastic volatility. ArXiv e‐prints.https://arxiv.org/pdf/1610.00332.pdf

3. Affine fractional stochastic volatility models

4. The Valuation of Volatility Options

5. Volatility is rough

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