A Data-Reconstructed Fractional Volatility Model

dc.creator	Mendes, Rui Vilela
dc.creator	Oliveira, Maria J.
dc.date	2008
dc.date.accessioned	2013-10-16T06:57:51Z
dc.date.available	2013-10-16T06:57:51Z
dc.date.issued	2013-10-16
dc.identifier	http://hdl.handle.net/10419/17994
dc.identifier	ppn:566318539
dc.identifier	RePEc:zbw:ifwedp:7284
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/17994
dc.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.
dc.language	eng
dc.publisher	Kiel Institute for the World Economy (IfW) Kiel
dc.relation	Economics Discussion Papers / Institut für Weltwirtschaft 2008-22
dc.rights	http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject	C51
dc.subject	G14
dc.subject	G12
dc.subject	ddc:330
dc.subject	Fractional noise
dc.subject	induced volatility
dc.subject	statistics of returns
dc.subject	option pricing
dc.subject	Börsenkurs
dc.subject	Volatilität
dc.subject	Stochastischer Prozess
dc.subject	Noise Trading
dc.subject	Optionspreistheorie
dc.subject	Theorie
dc.title	A Data-Reconstructed Fractional Volatility Model
dc.type	doc-type:workingPaper

الملفات في هذه المادة

الملفات	الحجم	الصيغة	عرض
لا توجد أي ملفات مرتبطة بهذه المادة.