Jeantheau, Thierry - In: Finance and Stochastics 8 (2004) 1, pp. 111-131
In this paper, we propose a heteroskedastic model in discrete time which converges, when the sampling interval goes to zero, towards the complete model with stochastic volatility in continuous time described in Hobson and Rogers (1998). Then, we study its stationarity and moment properties. In...