63 citations · 75 across the 12 of their papers we have counts for
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q-fin.ST2023
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
Xiyue Han, Alexander Schied
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion wit…
math.PR2023
A criterion for absolute continuity relative to the law of fractional Brownian motion
Xiyue Han, Alexander Schied
Let be the sum of a fractional Brownian motion with Hurst parameter and an absolutely continuous and adapted drift process. We establish a simple criterion that guarantees…