Estimation and pricing under long-memory stochastic volatility
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsOption pricing; Stochastic volatility; Long memory; Particle filtering; Estimation; Multinomial tree; C14; C5; C6; G13;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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