Option pricing under fast-varying and rough stochastic volatility
Recent empirical studies suggest that the volatilities associated with financial time series
exhibit short-range correlations. This entails that the volatility process is very rough and its …
exhibit short-range correlations. This entails that the volatility process is very rough and its …
Option pricing under fast‐varying long‐memory stochastic volatility
Recent empirical studies suggest that the volatility of an underlying price process may have
correlations that decay slowly under certain market conditions. In this paper, the volatility is …
correlations that decay slowly under certain market conditions. In this paper, the volatility is …
An enhanced ELMAN-NARX hybrid model for FTSE Bursa Malaysia KLCI index forecasting
SJ Abdulkadir, SP Yong… - 2016 3rd International …, 2016 - ieeexplore.ieee.org
The FTSE Bursa Malaysia KLCI index is a form of capitalized trading index that is made up
of over thirty trading companies in Malaysia. These type of time series data is classified as …
of over thirty trading companies in Malaysia. These type of time series data is classified as …
Implied volatility structure in turbulent and long-memory markets
We consider fractional stochastic volatility models that extend the classic Black–Scholes
model for asset prices. The models are general and motivated by recent empirical results …
model for asset prices. The models are general and motivated by recent empirical results …