Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model

Quantitative Finance

Volumn 6, Issue 5, 2006, Pages 423-433

  Masoliver, Jaume ^a   Perelló, Josep ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Leverage; Long memory; Ornstein Uhlenbeck process; Stochastic volatility

Indexed keywords

EID: 33749018526     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600727547     Document Type: Article

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