Implied roughness in the term structure of oil market volatility
Mesias Alfeus, Christina S. Nikitopoulos and Ludger Overbeck
| Year of publication: |
2024
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|---|---|
| Authors: | Alfeus, Mesias ; Nikitopoulos, Christina Sklibosios ; Overbeck, Ludger |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 3/4, p. 347-363
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| Subject: | Calibrated Hurst parameter | Fractional Brownian motion | Oil volatility | Options | Rough volatility | Volatilität | Volatility | Ölmarkt | Oil market | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2291081 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014552013