Option pricing with fractional volatility

Name: Option pricing with fractional volatility
Author: Rui Vilela Mendes, Maria Joao Oliveira

Rui Vilela Mendes, Maria Joao Oliveira

paper2004-04-28English

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Description

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

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