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- W3123091999 abstract "Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation." @default.
- W3123091999 created "2021-02-01" @default.
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- W3123091999 date "2004-04-01" @default.
- W3123091999 modified "2023-09-27" @default.
- W3123091999 title "Option pricing with fractional volatility" @default.
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