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LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING - MaRDI portal

LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING (Q3023923)

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LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
scientific article

    Statements

    title
    LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING (English)
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    author
    Sergei P. Fedotov
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    Abby Tan
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    publication date
    6 July 2005
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    zbMATH Keywords
    long memory
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    stochastic volatility
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    option pricing
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    Identifiers

    zbMATH DE Number
    2186807
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    arXiv ID
    cond-mat/0403761
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