Long memory in continuous‐time stochastic volatility models

• 1 October 1998
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 8  (4) , 291-323
• https://doi.org/10.1111/1467-9965.00057

Abstract

Keywords

• CONTINUOUS‐TIME OPTION PRICING MODEL
• STOCHASTIC VOLATILITY
• VOLATILITY SMILE
• VOLATILITY PERSISTENCE
• LONG MEMORY