Estimation and pricing under long-memory stochastic volatility
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Publication:470523
DOI10.1007/s10436-010-0156-4zbMath1298.91160OpenAlexW2153046312MaRDI QIDQ470523
Alexandra Chronopoulou, Frederi G. Viens
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-010-0156-4
Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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