This paper deals with the estimation of continuous time stochastic volatility models of option pricing. We argue that option prices are much more informative about the parameters than asset prices. This is confirmed in a Monte Carlo experiment which compares two very simple strategies based on...

This paper studies a classical extension of the Black and Scholes model for option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties.