A fractional calculus interpretation of the fractional volatility model
A fractional calculus interpretation of the fractional volatility model
复制标题
DOI：
10.1007/s11071-008-9372-0
复制
发表时间：
2009-03
影响因子：
5.6
通讯作者：
R. Mendes
中科院分区：
文献类型：
--
作者：
R. Mendes
基于数学简单性和与经验市场数据的一致性标准，构建了一个分数噪声驱动的波动率模型，该模型提供了一个相当准确的数据的数学参数化。在这里，模型是用随机过程的分数次积分来表示的。
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, the model is formulated in terms of a fractional integration of stochastic processes.