Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036): Difference between revisions

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-Frederi G. Viens
@@ Property / author: Frederi G. Viens / rank @@
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@@ Property / author @@
+Frederi G. Viens
@@ Property / author: Frederi G. Viens / rank @@
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@@ Property / describes a project that uses @@
+longmemo
@@ Property / describes a project that uses: longmemo / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2022178019
@@ Property / OpenAlex ID: W2022178019 / rank @@
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@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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+Modeling and pricing long memory in stock market volatility
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+The detection and estimation of long memory in stochastic volatility
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+Econometric estimation in long-range dependent volatility models: theory and practice
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+Long memory in continuous-time stochastic volatility models
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+An Intertemporal General Equilibrium Model of Asset Prices
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+Long-range dependence in the conditional variance of stock returns
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+ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE  MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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+THE GARCH OPTION PRICING MODEL
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+Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
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+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
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+Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Optimal approximation of SDE's with additive fractional noise
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+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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