Document type
Journal articles
Document subtype
Full paper
Title
THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
Participants in the publication
R. VILELA MENDES (Author)
FACULDADE DE CIÊNCIAS DA UNIVERSIDADE DE LISBOA
CMAFcIO
Summary
The question of the volatility roughness is interpreted in the framework of a datareconstructed\\nfractional volatility model, where volatility is driven by fractional noise.\\nSome examples are worked out and, using the Malliavin calculus for fractional processes,\\nan option pricing equation and its solution are obtained.
Date of Publication
2023-07-08
Institution
FACULDADE DE CIÊNCIAS DA UNIVERSIDADE DE LISBOA
Where published
International Journal of Theoretical and Applied Finance
Publication Identifiers
ISSN - 0219-0249
Publisher
World Scientific Pub Co Pte Ltd
Document Identifiers
DOI -
https://doi.org/10.1142/s0219024923500103
URL -
http://dx.doi.org/10.1142/s0219024923500103