Estimation and pricing under long-memory stochastic volatility
type: Item
instance of: scholarly article
title: Estimation and pricing under long-memory stochastic volatility
zbMATH Open document ID: 1298.91160
author: Alexandra Chronopoulou
author: Frederi Viens
published in: Annals of Finance
publication date: 2014-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6368841
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic volatility
zbMATH Keywords: long memory
zbMATH Keywords: particle filtering
zbMATH Keywords: estimation
zbMATH Keywords: multinomial tree
describes a project that uses: longmemo
MaRDI profile type: Publication
full work available at URL: s10436-010-0156-4
OpenAlex ID: W2153046312
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DOI: 10.1007/S10436-010-0156-4
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description: scientific article; zbMATH DE number 6368841