Affine fractional stochastic volatility models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
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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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