Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/17994 
Year of Publication: 
2008
Series/Report no.: 
Economics Discussion Papers No. 2008-22
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
Abstract: 
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained.
Subjects: 
Fractional noise
induced volatility
statistics of returns
option pricing
JEL: 
C51
G14
G12
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Working Paper

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