LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING

DOI10.1142/S0219024905003013zbMath1113.91022arXivcond-mat/0403761MaRDI QIDQ3023923

Sergei P. Fedotov, Abby Tan

Publication date: 6 July 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0403761

zbMATH Keywords

stochastic volatilityoption pricinglong memory

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

CEV model equipped with the long-memory

Uses Software

• longmemo

Cites Work

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