Long Memory in Continuous Time Stochastic Volatility Models.

This paper studies a classical extension of the Black and Scholes model of 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. We study here the implications of this long memory continuous time modelization, on the volatility process itself, as well as on the global asset pricing model.

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Year of publication:	1996
Authors:	Comte, F. ; Renault, E.
Institutions:	Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ), Toulouse School of Economics (TSE)
Subject:	ECONOMETRICS \| MODELS \| MATHEMATICS \| UNCERTAINTY \| FINANCIAL MARKET

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Series:	Toulouse - GREMAQ.
Type of publication:	Book / Working Paper
Notes:	38 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005780419