Option pricing with fractional volatility
classification
❄️ cond-mat.other
cond-mat.stat-mechq-fin.PR
keywords
optionpricingvolatilityfractionalmodeldatadrivenempirical
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Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
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