The fractional volatility model: An agen
β
R. Vilela Mendes
π
Article
π
2008
π
Elsevier Science
π
English
β 505 KB
Based on the criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are reviewed and extended t