Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044)
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scientific article; zbMATH DE number 6849032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility |
scientific article; zbMATH DE number 6849032 |
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Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (English)
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12 March 2018
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stochastic volatility
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implied volatility
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fractional Brownian motion
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long-range dependence
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