Work

Consequences for Option Pricing of a Long Memory in Volatility

Year: 2001

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.269840

Author: Stephen J. Taylor

Institution: Lancaster University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1565495693

Cites: 51

Cited by: 29

Related to: 10