Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. - In: Asia-Pacific Financial Markets 6 (1999) 1, pp. 37-48
We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...
