Market calibration under a long memory stochastic volatility model

DOI10.1080/1350486X.2017.1279977zbMath1396.91760OpenAlexW2580567270MaRDI QIDQ4585681

Tomáš Sobotka, Jan Pospíšil

Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1279977

zbMATH Keywords

stochastic volatilitylong memoryEuropean call optionfractional processmarket calibration

Mathematics Subject Classification ID

Related Items (7)

Isogeometric analysis in option pricing ⋮ Calibration and simulation of Heston model ⋮ Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

Uses Software

• Mathematica
• longmemo

Cites Work

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