英文标题：
《Correction to Black-Scholes formula due to fractional stochastic
volatility》
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作者：
Josselin Garnier and Knut Solna
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最新提交年份：
2017
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英文摘要：
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is shown how the associated implied volatility has a term structure that is a function of maturity to a fractional power.
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中文摘要：
实证研究表明，波动率可能表现出相关性，其衰减为时间偏移的分数幂。本文对平稳随机波动率模型由分数阶Ornstein-Uhlenbeck过程构造而成的情况进行了严格的分析。本文展示了相关的隐含波动率是如何具有期限结构的，期限结构是到期日到分数次幂的函数。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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