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The fractional volatility model: No-arbitrage, leverage and completeness

Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behavior. Here, the no-arbitrage and completeness properties of the models are studied.

preprint2012arXivOpen access
R. Vilela MendesM. J. OliveiraA. M. Rodrigues
q-fin.ST
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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R. Vilela MendesM. J. OliveiraA. M. Rodrigues

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