Pith. sign in

REVIEW 1 cited by

Correction to Black-Scholes formula due to fractional stochastic volatility

Not yet reviewed by Pith; the record is open.

Re-run · record.json Download PDF Read on arXiv ↗

This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.

SPECIMEN: schema-true, not a live event

T0 review · schema-true

One-sentence machine reading of the paper's core claim.

pith:XXXXXXXX · record.json · timestamp

arxiv 1509.01175 v2 pith:QW2SAII3 submitted 2015-09-03 q-fin.MF

Josselin Garnier , Knut Solna This is my paper · ORCID
classification q-fin.MF
keywords fractionalvolatilitycorrelationspowerstochasticanalysisassociatedblack-scholes
verification ladder T0 review T1 audit T2 compute T3 formal
0 comments
read the original abstract

Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a function of maturity to a fractional power.

Discussion (0). Continue with ORCID to comment.

Forward citations

Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates

    q-fin.PR 2024-11 reject novelty 4.0 of 10

    A simulation study finds GARCH-Jump volatility plus Weibull stochastic correlation plus Ornstein-Uhlenbeck exchange rates performs best among 180 model combinations for multi-strike quanto call pricing.

Pith tools