Does the Hurst index matter for option prices under fractional volatility?
type: Item
instance of: scholarly article
title: Does the Hurst index matter for option prices under fractional volatility?
zbMATH Open document ID: 1398.91588
author: Hideharu Funahashi
author: Masaaki Kijima
published in: Annals of Finance
publication date: 2017-04-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 6708896
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Hurst index
zbMATH Keywords: stochastic volatility
zbMATH Keywords: mean-reverting process
zbMATH Keywords: implied volatility
MaRDI profile type: Publication
full work available at URL: s10436-016-0289-1
OpenAlex ID: W2566942285
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DOI: 10.1007/S10436-016-0289-1
description: scientific article; zbMATH DE number 6708896