Chronopoulou, Alexandra; Viens, Frederi G. - In: Quantitative Finance 12 (2012) 4, pp. 635-649
It is commonly accepted that certain financial data exhibit long-range dependence. We consider a continuous-time stochastic volatility model in which the stock price is Geometric Brownian Motion with volatility described by a fractional Ornstein--Uhlenbeck process. We also study two...