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Stochastic volatility and option pricing with long-memory in discrete and continuous time
16 references·8 citing·26 second hop
Stochastic volatility and option pricing with long-memory in discrete and continuous time (2012)Stochastic volatility and option pricing …The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Theory of rational option pricing (2005)Theory of rational option pri…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Large and moderate deviations for stochastic Volterra systems (2022)Large and moderate deviations…Asymptotic theory for rough fractional Vasicek models (2019)Asymptotic theory for rough f…A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)A martingale approach for fra…Statistical inference for Vasicek-type model driven by Hermite processes (2018)Statistical inference for Vas…Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (2018)Optimal Portfolio under Fast …Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (2018)Large Deviation Principle for…Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Correction to Black--Scholes …Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2016)Parameter estimation for a pa…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Some properties of time series data and their use in econometric model specification (1981)Measuring and Testing the Impact of News on Volatility (1993)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Option pricing: A simplified approach (1979)
this work references cited by second hop

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  • 1996Modeling and pricing long memory in stock market volatility

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Cited by

  • 2016Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise47 cited
  • 2017Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility46 cited
  • 2018Statistical inference for Vasicek-type model driven by Hermite processes44 cited
  • 2019A martingale approach for fractional Brownian motions and related path dependent PDEs42 cited
  • 2018Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment36 cited
  • 2019Asymptotic theory for rough fractional Vasicek models29 cited
  • 2022Large and moderate deviations for stochastic Volterra systems28 cited
  • 2018Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models28 cited