Affine fractional stochastic volatility models
Year of publication: |
2012
|
---|---|
Authors: | Comte, F. ; Coutin, L. ; Renault, E. |
Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 337-378
|
Publisher: |
Springer |
Subject: | Fractional integrals | Long memory processes | Integrated volatility | Option pricing | Stochastic volatility | C13-C51 |
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