A Black--Scholes Model with Long Memory

This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stationary and possesses long memory are characterised. Connections with the class of ARCH($\infty$) processes are sketched.

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Year of publication:	2012-02
Authors:	Appleby, John A. D. ; Daniels, John A. ; Krol, Katja
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009651366