Volatility is rough
J. Gatheral, T. Jaisson, M. Rosenbaum
| Year of publication: |
2023
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|---|---|
| Authors: | Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu |
| Published in: |
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference. - New Jersey : World Scientific, ISBN 978-981-12-5586-1. - 2023, p. 127-172
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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 | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811259142_0008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014366596