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Implied roughness in the term structure of oil market volatility
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-01-31 , DOI: 10.1080/14697688.2023.2291081 Mesias Alfeus 1, 2 , Christina S. Nikitopoulos 3 , Ludger Overbeck 4
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-01-31 , DOI: 10.1080/14697688.2023.2291081 Mesias Alfeus 1, 2 , Christina S. Nikitopoulos 3 , Ludger Overbeck 4
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This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...
中文翻译：
石油市场波动期限结构的隐含粗糙度
本文分析了石油市场波动粗糙度的属性及其意义。我们采用由粗略布朗运动驱动的无跨度随机波动率模型，产生半......
更新日期：2024-01-31
中文翻译：
石油市场波动期限结构的隐含粗糙度
本文分析了石油市场波动粗糙度的属性及其意义。我们采用由粗略布朗运动驱动的无跨度随机波动率模型，产生半......
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