This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

This paper studies the performance of Heston Model and Black-Scholes Model in pricing index options. I have compared the two models based on 1074 call option prices of S&P 500 on 1st November, 2016. I have calibrated the parameters of the Heston Model by non-linear least square optimization...

In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...