Fractional stochastic volatility correction to CEV implied volatility

DOI10.1080/14697688.2020.1812703zbMath1479.91403OpenAlexW3094262720MaRDI QIDQ5014189

Se-Jin Kwon, Jeong-Hoon Kim, Hyun-Gyoon Kim

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1812703

zbMATH Keywords

option pricingimplied volatilityconstant elasticity of variancefractional stochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ A stochastic-local volatility model with Lévy jumps for pricing derivatives

Cites Work

• The Pricing of Options and Corporate Liabilities
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• On fractional Ornstein-Uhlenbeck processes
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• A General Fractional White Noise Theory And Applications To Finance
• Equivalent Black volatilities
• Asymptotic Behavior of the Fractional Heston Model
• Volatility is rough
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Option pricing under hybrid stochastic and local volatility
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Fractional Brownian Motions, Fractional Noises and Applications

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