Adelaide Research & Scholarship
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https://hdl.handle.net/2440/32197
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| Type: | Conference paper |
| Title: | Path integrals in fluctuating markets with a non-Gaussian option pricing model |
| Author: | Bonnet, F. Van Der Hoek, J. Allison, A. Abbott, D. |
| Citation: | Noise and fluctuations in econophysics and finance : 24-26 May, 2005, Austin, Texas, USA / Derek Abbott, Jean-Philippe Bouchaud, Xavier Gabaix, Joseph L. McCauley (eds.), pp. 66-85 |
| Publisher: | SPIE-INT SOC OPTICAL ENGINEERING |
| Issue Date: | 2005 |
| Series/Report no.: | Proceedings of SPIE--the International Society for Optical Engineering ; 5848. |
| ISBN: | 0-8194-5843-0 |
| ISSN: | 0277-786X |
| Conference Name: | Noise and fluctuations in econophysics and finance (2005 : Austin, Texas) |
| Editor: | Abbott, D. Bouchard, J.P. Gabaix, X. McCaulty, J.L. |
| Statement of Responsibility: | Frederic D. R. Bonnet, John van der Hoek, Andrew Allison, and Derek Abbott |
| Abstract: | It is well established that volatility has a memory of the past, moreover it is found that volatility correlations are long ranged. As a consequence the volatility cannot be characterized by a single correlation time. Recent empirical work suggests that the volatility correlation functions of various assets actually decay as a power law. |
| Description: | © 2005 COPYRIGHT SPIE--The International Society for Optical Engineering |
| DOI: | 10.1117/12.618664 |
| Published version: | http://dx.doi.org/10.1117/12.618664 |
| Appears in Collections: | Aurora harvest Electrical and Electronic Engineering publications |
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