Affine fractional stochastic volatility models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xiao, Weilin & Yu, Jun, 2018. "Asymptotic Theory for Rough Fractional Vasicek Models," Economics and Statistics Working Papers 7-2018, Singapore Management University, School of Economics.
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More about this item
KeywordsFractional integrals; Long memory processes; Integrated volatility; Option pricing; Stochastic volatility; C13-C51;
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