Geman, Hélyette; Carr, Peter; Madan, Dilip B.; Yor, Marc - Université Paris-Dauphine (Paris IX) - 2003
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...
