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Long memory in continuous‐time stochastic volatility models
Home
Publications
Long memory in continuous‐time stochastic volatility models
Long memory in continuous‐time stochastic volatility models
FC
Fabienne Comte
Fabienne Comte
ER
Eric Renault
Eric Renault
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1 October 1998
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 8
(4)
,
291-323
https://doi.org/10.1111/1467-9965.00057
Abstract
No abstract available
Keywords
CONTINUOUS‐TIME OPTION PRICING MODEL
STOCHASTIC VOLATILITY
VOLATILITY SMILE
VOLATILITY PERSISTENCE
LONG MEMORY
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