Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model

DOI10.1080/14697680600727547zbMath1134.91523arXivcond-mat/0501639OpenAlexW2128832002MaRDI QIDQ3437399

Josep Perelló, Jaume Masoliver

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0501639

zbMATH Keywords

stochastic volatilityOrnstein-Uhlenbeck processlong memoryleverage

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic models in economics (91B70)

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