The value of expected return persistence

DOI10.1007/S10436-023-00428-ZzbMATH Open1530.91577OpenAlexW4382795052MaRDI QIDQ6146134

Wolfgang Schadner, Sebastian Lang

Publication date: 10 January 2024

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

Full work available at URL: https://doi.org/10.1007/s10436-023-00428-z

zbMATH Keywords

implied volatilitylong range memoryfractal Brownian motionreturn persistence

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A General Fractional White Noise Theory And Applications To Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Fractional Brownian Motions, Fractional Noises and Applications

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