Financial Markets with Memory I: Dynamic Models

DOI10.1081/SAP-200050096zbMath1108.91035MaRDI QIDQ4678735

Akihiko Inoue, V. V. Anh

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200050096

zbMATH Keywords

option pricing; long memory; volatility; financial market models

Mathematics Subject Classification ID

60G20: Generalized stochastic processes

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