A fractional calculus interpretation of the fractional volatility model
نویسنده
چکیده
Based on 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, the model is formulated in terms of a fractional integration of stochastic processes.
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تاریخ انتشار 2008