Figà-Talamanca, Gianna - Dipartimento di Economia, Università degli Studi di Perugia - 2008
In this note we generalize the limit results in [Genon-Catalot, Jeantheau, Laredo, 2000, Bernoulli ] for simple stochastic volatility models to the case where a non zero correlation is allowed between the Brownian mo- tion driving the main di¤usion process and the Brownian motion driving the...