Consequences for Option Pricing of a Long Memory in Volatility

SSRN Electronic Journal
doi 10.2139/ssrn.269840
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Target Volatility Option Pricing

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2012English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

Option Pricing Applications of Quadratic Volatility Models

Journal of Mathematical Finance
2012English

Two Stochastic Volatility Processes - American Option Pricing

SSRN Electronic Journal
2011English

Option Pricing for Stochastic Volatility Models: Vol-Of-Vol Expansion

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2014English

A Martingale Control Variate Method for Option Pricing With Stochastic Volatility

ESAIM - Probability and Statistics
StatisticsProbability
2007English

Option Pricing Under Stochastic Volatility of Us Reits

2010English

Exchange Option Pricing Under Stochastic Volatility: A Correlation Expansion

Review of Derivatives Research
EconomicsEconometricsFinance
2009English

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2012English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy