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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17994| Title: | A Data-Reconstructed Fractional Volatility Model |
| Keywords: | C51 G14 G12 ddc:330 Fractional noise induced volatility statistics of returns option pricing Börsenkurs Volatilität Stochastischer Prozess Noise Trading Optionspreistheorie Theorie |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17994 |
| Other Identifiers: | http://hdl.handle.net/10419/17994 ppn:566318539 RePEc:zbw:ifwedp:7284 |
| Appears in Collections: | EconStor |
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