Geodesic
Wiener spiral for volatility modeling
Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 3, pp. 596-618

Voir la notice de l'article provenant de la source Math-Net.Ru

Focusing on a lognormal stochastic volatility model, we present an elementary introduction to rough volatility modeling for financial assets with some new findings.
Keywords: fractional Brownian motion, implied volatility, leverage effect. 
@article{TVP_2023_68_3_a9,
     author = {M. Fukasawa},
     title = {Wiener spiral for volatility modeling},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {596--618},
     publisher = {mathdoc},
     volume = {68},
     number = {3},
     year = {2023},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2023_68_3_a9/}
}
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M. Fukasawa. Wiener spiral for volatility modeling. Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 3, pp. 596-618. http://geodesic.mathdoc.fr/item/TVP_2023_68_3_a9/