A data-reconstructed fractional volatility model

Detalhes bibliográficos
Autor(a) principal: Mendes, Rui Vilela
Data de Publicação: 2008
Outros Autores: Oliveira, Maria João
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.2/1711
Resumo: 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.
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spelling A data-reconstructed fractional volatility modelFractional noiseInduced volatilityStatistics of returnsOption pricingBased 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.Repositório AbertoMendes, Rui VilelaOliveira, Maria João2011-01-14T16:16:20Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.2/1711engMendes, Rui Vilela; Oliveira, Maria João - A data-reconstructed fractional volatility model. "Economics [Em linha] : the open-access, open-assessment E-journal: discussion paper". ISSN 1864-6042. Nº 22 (2008), p. 1-201864-6042info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T15:14:29Zoai:repositorioaberto.uab.pt:10400.2/1711Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:43:24.841962Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A data-reconstructed fractional volatility model
title A data-reconstructed fractional volatility model
spellingShingle A data-reconstructed fractional volatility model
Mendes, Rui Vilela
Fractional noise
Induced volatility
Statistics of returns
Option pricing
title_short A data-reconstructed fractional volatility model
title_full A data-reconstructed fractional volatility model
title_fullStr A data-reconstructed fractional volatility model
title_full_unstemmed A data-reconstructed fractional volatility model
title_sort A data-reconstructed fractional volatility model
author Mendes, Rui Vilela
author_facet Mendes, Rui Vilela
Oliveira, Maria João
author_role author
author2 Oliveira, Maria João
author2_role author
dc.contributor.none.fl_str_mv Repositório Aberto
dc.contributor.author.fl_str_mv Mendes, Rui Vilela
Oliveira, Maria João
dc.subject.por.fl_str_mv Fractional noise
Induced volatility
Statistics of returns
Option pricing
topic Fractional noise
Induced volatility
Statistics of returns
Option pricing
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.
publishDate 2008
dc.date.none.fl_str_mv 2008
2008-01-01T00:00:00Z
2011-01-14T16:16:20Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.2/1711
url http://hdl.handle.net/10400.2/1711
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Mendes, Rui Vilela; Oliveira, Maria João - A data-reconstructed fractional volatility model. "Economics [Em linha] : the open-access, open-assessment E-journal: discussion paper". ISSN 1864-6042. Nº 22 (2008), p. 1-20
1864-6042
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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