Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17994
Authors: 
Mendes, Rui Vilela
Oliveira, Maria J.
Year of Publication: 
2008
Series/Report no.: 
Economics Discussion Papers / Institut für Weltwirtschaft 2008-22
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: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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