Affiliation:
1. CMAFcIO, Faculdade de Ciências, Universidade de Lisboa, Lisbon, Portugal
Abstract
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and, using the Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
Publisher
World Scientific Pub Co Pte Ltd
Subject
General Economics, Econometrics and Finance,Finance