Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.
and Teverovsky, Vadim and Willinger, Walter , title =
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Multifractal and information-theoretic measures applied to multi-band AGN light curves reveal persistent correlations and distinct variability patterns that support their use as diagnostics for physical processes.
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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.