Volatility is rough (Q4554473)
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scientific article; zbMATH DE number 6979504
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility is rough |
scientific article; zbMATH DE number 6979504 |
Statements
Volatility is rough (English)
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14 November 2018
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high frequency data
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volatility smoothness
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fractional Brownian motion
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fractional Ornstein-Uhlenbeck
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long memory
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volatility persistence
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volatility forecasting
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option pricing
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volatility surface
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