Does the Hurst index matter for option prices under fractional volatility?

DOI10.1007/s10436-016-0289-1zbMath1398.91588OpenAlexW2566942285MaRDI QIDQ525208

Masaaki Kijima, Hideharu Funahashi

Publication date: 28 April 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0289-1

zbMATH Keywords

fractional Brownian motionstochastic volatilityHurst indeximplied volatilitymean-reverting process

Mathematics Subject Classification ID

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

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