Implied Volatility Structure in Turbulent and Long-Memory Markets
We consider fractional stochastic volatility models that extend the classic Black–Scholes model for asset prices. The models are general and motivated by recent empirical results regarding the behavior of realized volatility. While such models retain the semimartingale property for the asset price t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-04-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2020.00010/full |