LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
Year of publication: |
2005
|
---|---|
Authors: | FEDOTOV, SERGEI ; TAN, ABBY |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 03, p. 381-392
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Long memory | stochastic volatility | option pricing |
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