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Consequences for Option Pricing of a Long Memory in Volatility · Study

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PreprintConsequences for Option Pricing of a Long Memory in Volatility

Stephen J. Taylor2001

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Preprintgreen2001

Consequences for Option Pricing of a Long Memory in Volatility

Stephen J. Taylor

29 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.269840

openalex_workW1565495693

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