Vilela Mendes, R.; Oliveira, M.J.; Rodrigues, A.M. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 470-478
When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different...