Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.
, year = 2017, month = nov, series =
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Strengthens classical scaling limit theorems for correlated random walks to functional convergence in Hölder and rough Hölder topologies.
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Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing
Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.