Wiener Spiral for Volatility Modeling

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Theory of Probability and its Applications Pub Date : 2023-11-01 DOI:10.1137/s0040585x97t991581

M. Fukasawa

引用次数: 0

Abstract

Focusing on a lognormal stochastic volatility model, we present an elementary introduction to rough volatility modeling for financial assets with some new findings.Keywordsfractional Brownian motionimplied volatilityleverage effect

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维纳螺旋波动模型

本文以对数正态随机波动率模型为研究对象，对金融资产的粗糙波动率模型进行了初步的介绍，并得到了一些新的发现。关键词分数布朗运动隐含波动率杠杆效应

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Theory of Probability and its Applications 数学-统计学与概率论

CiteScore

1.00

自引率

16.70%

发文量

审稿时长

6 months

期刊介绍： Theory of Probability and Its Applications (TVP) accepts original articles and communications on the theory of probability, general problems of mathematical statistics, and applications of the theory of probability to natural science and technology. Articles of the latter type will be accepted only if the mathematical methods applied are essentially new.