ROUGH FRACTIONAL STOCHASTIC VOLATILITY MODELING

被引：0
|
作者：
Nourian, Farshid [1 ]
Bastani, Ali Foroush [2 ]
Lakestani, Mehrdad [1 ]
机构：
[1] Univ Tabriz, Dept Appl Math, Tabriz, Iran
[2] Inst Adv Studies Basic Sci, Dept Financial Math, Zanjan, Iran
来源：
PROCEEDINGS OF THE7TH INTERNATIONAL CONFERENCE ON CONTROL AND OPTIMIZATION WITH INDUSTRIAL APPLICATIONS, VOL II | 2020年
关键词：
Fractional Brownian Motion; Volatility Smoothness; Volatility Modeling; Fractional Ornstein-Uhlenbeck; High Frequency Data;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
引用
收藏
页码：290 / 292
页数：3
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