Multiscale stochastic volatility driven by fractional Brownian motion (Q2915777)
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scientific article; zbMATH DE number 6083786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiscale stochastic volatility driven by fractional Brownian motion |
scientific article; zbMATH DE number 6083786 |
Statements
18 September 2012
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fractional Brownian motion
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fractional Ornstein-Uhlenbeck process
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Ito formula
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stochastic volatility
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Black-Scholes formula
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European call option
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implied volatility
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Multiscale stochastic volatility driven by fractional Brownian motion (English)
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