Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117)

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scientific article; zbMATH DE number 7052621
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Option pricing under fast‐varying long‐memory stochastic volatility
scientific article; zbMATH DE number 7052621

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    Option pricing under fast‐varying long‐memory stochastic volatility (English)
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    8 May 2019
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    fractional long-range correlation
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    mean reversion
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    Ornstein-Uhlenbeck process
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    stochastic volatility
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