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

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Year of publication:	2011
Authors:	Mendes, Rui Vilela
Other Persons:	Ordóñez Monfort, Javier (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price \| Optionspreistheorie \| Option pricing theory \| Noise Trading \| Noise trading

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