Long memory in continuous-time stochastic volatility models
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Publication:2707194
DOI10.1111/1467-9965.00057zbMath1020.91021OpenAlexW2013134717MaRDI QIDQ2707194
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00057
stochastic volatilitylong memoryvolatility persistencecontinuous-time option pricing modelvlatility smile
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