Long Memory in Continuous Time Stochastic Volatility Models.

This paper studies a classical extension of the Black and Scholes model for option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties.

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Year of publication:	1996
Authors:	Comte, F. ; Renault, E.
Subject:	UNCERTAINTY \| TIME SERIES \| EVALUATION \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	54 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671557