A Data-Reconstructed Fractional Volatility Model

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17994

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DC Field	Value	Language
dc.creator	Mendes, Rui Vilela	-
dc.creator	Oliveira, Maria J.	-
dc.date	2008	-
dc.date.accessioned	2013-10-16T06:57:51Z	-
dc.date.available	2013-10-16T06:57:51Z	-
dc.date.issued	2013-10-16	-
dc.identifier	http://hdl.handle.net/10419/17994	-
dc.identifier	ppn:566318539	-
dc.identifier	RePEc:zbw:ifwedp:7284	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/17994	-
dc.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.	-
dc.language	eng	-
dc.publisher	Kiel Institute for the World Economy (IfW) Kiel	-
dc.relation	Economics Discussion Papers / Institut für Weltwirtschaft 2008-22	-
dc.rights	http://creativecommons.org/licenses/by-nc/2.0/de/deed.en	-
dc.subject	C51	-
dc.subject	G14	-
dc.subject	G12	-
dc.subject	ddc:330	-
dc.subject	Fractional noise	-
dc.subject	induced volatility	-
dc.subject	statistics of returns	-
dc.subject	option pricing	-
dc.subject	Börsenkurs	-
dc.subject	Volatilität	-
dc.subject	Stochastischer Prozess	-
dc.subject	Noise Trading	-
dc.subject	Optionspreistheorie	-
dc.subject	Theorie	-
dc.title	A Data-Reconstructed Fractional Volatility Model	-
dc.type	doc-type:workingPaper	-
Appears in Collections:	EconStor

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