Estimation and pricing under long-memory stochastic volatility

Annals of Finance

Volumn 8, Issue 2-3, 2012, Pages 379-403

  Chronopoulou, Alexandra ^a   Viens, Frederi G ^a  

^a PURDUE UNIVERSITY   (United States)

Author keywords

Estimation; Long memory; Multinomial tree; Option pricing; Particle filtering; Stochastic volatility

Indexed keywords

EID: 84860182311     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-010-0156-4     Document Type: Article

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