Long Memory in Continuous Time Stochastic Volatility Models
AbstractThis 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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Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 96.406.
Length: 38 pages
Date of creation: 1996
Date of revision:
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ECONOMETRICS; MODELS; MATHEMATICS; UNCERTAINTY; FINANCIAL MARKET;
Other versions of this item:
- Fabienne Comte & Eric Renault, 1998. "Long memory in continuous-time stochastic volatility models," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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