Estimation and pricing under long-memory stochastic volatility
| Year of publication: |
2012
|
|---|---|
| Authors: | Chronopoulou, Alexandra ; Viens, Frederi |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 379-403
|
| Publisher: |
Springer |
| Subject: | Option pricing | Stochastic volatility | Long memory | Particle filtering | Estimation | Multinomial tree |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866531