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 |
|