{"paper":{"title":"Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"stat.AP","authors_text":"Edward L. Boone, Hana H. Sagor, Ryad A. Ghanam","submitted_at":"2026-06-26T18:19:51Z","abstract_excerpt":"Fractional Brownian motion has been widely used in financial modeling to capture long-range dependence and persistent behavior observed in asset dynamics. In the fractional Black--Scholes framework, accurate estimation of the Hurst parameter is essential, since estimation uncertainty can directly affect option pricing results. In this paper, we propose a Bayesian framework for joint inference on the Hurst parameter and volatility in fractional stochastic differential equation models. In contrast to approaches based solely on point estimation, the proposed method propagates posterior uncertaint"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.28522","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.28522/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}