The fractional volatility model : no-arbitrage, leverage and completeness

Detalhes bibliográficos
Autor(a) principal: Mendes, Rui Vilela
Data de Publicação: 2015
Outros Autores: Oliveira, Maria João, Rodrigues, A. M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.2/3787
Resumo: When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.
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spelling The fractional volatility model : no-arbitrage, leverage and completenessFractional noiseArbitrageMarket completenessWhen the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.ElsevierRepositório AbertoMendes, Rui VilelaOliveira, Maria JoãoRodrigues, A. M.2016-03-01T01:30:11Z2015-022015-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.2/3787engMendes, Rui Vilela; Oliveira, Maria João; Rodrigues, A. M. - The fractional volatility model : no-arbitrage, leverage and completeness. "Physica A" [Em linha]. ISSN 0378-4371. Vol. 419 (fev. 2015), p. 470-4780378-437110.1016/j.physa.2014.10.056info: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:RCAAP2023-11-16T15:19:13Zoai:repositorioaberto.uab.pt:10400.2/3787Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:45:01.083933Repositório 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 The fractional volatility model : no-arbitrage, leverage and completeness
title The fractional volatility model : no-arbitrage, leverage and completeness
spellingShingle The fractional volatility model : no-arbitrage, leverage and completeness
Mendes, Rui Vilela
Fractional noise
Arbitrage
Market completeness
title_short The fractional volatility model : no-arbitrage, leverage and completeness
title_full The fractional volatility model : no-arbitrage, leverage and completeness
title_fullStr The fractional volatility model : no-arbitrage, leverage and completeness
title_full_unstemmed The fractional volatility model : no-arbitrage, leverage and completeness
title_sort The fractional volatility model : no-arbitrage, leverage and completeness
author Mendes, Rui Vilela
author_facet Mendes, Rui Vilela
Oliveira, Maria João
Rodrigues, A. M.
author_role author
author2 Oliveira, Maria João
Rodrigues, A. M.
author2_role author
author
dc.contributor.none.fl_str_mv Repositório Aberto
dc.contributor.author.fl_str_mv Mendes, Rui Vilela
Oliveira, Maria João
Rodrigues, A. M.
dc.subject.por.fl_str_mv Fractional noise
Arbitrage
Market completeness
topic Fractional noise
Arbitrage
Market completeness
description When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.
publishDate 2015
dc.date.none.fl_str_mv 2015-02
2015-02-01T00:00:00Z
2016-03-01T01:30:11Z
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/10400.2/3787
url http://hdl.handle.net/10400.2/3787
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Mendes, Rui Vilela; Oliveira, Maria João; Rodrigues, A. M. - The fractional volatility model : no-arbitrage, leverage and completeness. "Physica A" [Em linha]. ISSN 0378-4371. Vol. 419 (fev. 2015), p. 470-478
0378-4371
10.1016/j.physa.2014.10.056
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.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
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
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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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