Arbeitspapier
A Data-Reconstructed Fractional Volatility Model
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained.
- Language
-
Englisch
- Bibliographic citation
-
Series: Economics Discussion Papers ; No. 2008-22
- Classification
-
Wirtschaft
Model Construction and Estimation
Information and Market Efficiency; Event Studies; Insider Trading
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
Fractional noise
induced volatility
statistics of returns
option pricing
Börsenkurs
Volatilität
Stochastischer Prozess
Noise Trading
Optionspreistheorie
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Mendes, Rui Vilela
Oliveira, Maria J.
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mendes, Rui Vilela
- Oliveira, Maria J.
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2008
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