The fractional volatility model and rough volatility

R. Vilela Mendes

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Abstract: The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.

Date: 2022-06
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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Published in International Journal of Theoretical and Applied Finance 26, 2350010 (2023)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2206.02205

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