No-Arbitrage, Leverage and Completeness in a Fractional Volatility Model

When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied

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Year of publication:	2015
Authors:	Mendes, Rui Vilela
Other Persons:	Oliveira, M. (contributor) ; Rodrigues, A. (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Kapitalstruktur \| Capital structure \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Arbitrage \| Arbitrage Pricing \| Arbitrage pricing