Name
Abstract | ||
|---|---|---|
Empirical studies show that the volatility process may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a function of maturity to a fractional power. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1137/15M1036749 | SIAM JOURNAL ON FINANCIAL MATHEMATICS |
Keywords | Field | DocType |
stochastic volatility,implied volatility,fractional Brownian motion,long-range dependence | Implied volatility,Stochastic volatility,Financial economics,Economics,Black–Scholes model,SABR volatility model,Ornstein–Uhlenbeck process,Forward volatility,Fractional Brownian motion,Volatility (finance) | Journal |
Volume | Issue | ISSN |
8 | 1 | 1945-497X |
Citations | PageRank | References |
2 | 0.49 | 5 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Josselin Garnier | 1 | 326 | 47.70 |
| Knut Sølna | 2 | 142 | 46.02 |