论文标题
分数波动率模型和粗糙波动率
The fractional volatility model and rough volatility
论文作者
论文摘要
波动性粗糙度的问题在数据重建的分数波动率模型的框架中解释了，其中波动率是由分数噪声驱动的。制定了一些示例，并且使用Malliavin演算进行分数过程，获得了一个选项定价方程及其解决方案。
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
