Volatility is rough
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Year of publication: |
June 2018
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Authors: | Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 933-949
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Subject: | High frequency data | Volatility smoothness | Fractional Brownian motion | Fractional Ornstein-Uhlenbeck | Long memory | Volatility persistence | Volatility forecasting | Option pricing | Volatility surface | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
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