Long memory in continuous-time stochastic volatility models

Mathematical Finance

Volumn 8, Issue 4, 1998, Pages 291-323

  Comte, Fabienne ^a   Renault, Eric ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b NONE

Author keywords

Continuous time option pricing model; Long memory; Stochastic volatility; Volatility persistence; Volatility smile

Indexed keywords

EID: 0032356952     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00057     Document Type: Article

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