Add to ORKGAbstract. By fractional integration of a square root volatility process, we propose in this paper a long memory extension of the Heston (1993) option pricing model. Long memory in the volatility process allows us to explain some option pricing puzzles as steep volatility smiles in long term options and co-movements between implied and realized volatility. Moreover, we take advantage of the analytical tractability of affine diffusion models to clearly disentangle long term components and short term variations in the term structure of volatility smiles. In addition, we provide a recursive algorithm of dis-cretization of fractional integrals in order to be able to implement a method of moments based estimation procedure from the high frequency...
Asset price volatility appears to be more persistent than can be captured by individual, short memor...
The long memory properties of the integrated and realized volatility are investigated under the ass...
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We...
In this thesis, we propose two continuous time stochastic volatility models with long memory that ge...
Volatility long memory is a stylized fact that has been documented for a long time. Exist-ing litera...
We treat the problem of option pricing under a stochastic volatility model that exhibits long-range ...
The economic consequences of a long memory assumption about volatility are documented, by comparing ...
The economic consequences of a long memory assumption about volatility are documented, by comparing ...
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is m...
International audienceWe consider fractional stochastic volatility models that extend the classic Bl...
It is commonly accepted that certain financial data exhibit long-range dependence. We consider a con...
Abstract: It is now recognized that long memory and structural change can easily be confused because...
We establish double Heston model with approximative fractional stochastic volatility in this article...
The long memory properties of the integrated and realized volatility are investigated under the assu...
Following the important work on unit roots and cointegration which started in the mid-1980s, a great...
Asset price volatility appears to be more persistent than can be captured by individual, short memor...
The long memory properties of the integrated and realized volatility are investigated under the ass...
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We...
In this thesis, we propose two continuous time stochastic volatility models with long memory that ge...
Volatility long memory is a stylized fact that has been documented for a long time. Exist-ing litera...
We treat the problem of option pricing under a stochastic volatility model that exhibits long-range ...
The economic consequences of a long memory assumption about volatility are documented, by comparing ...
The economic consequences of a long memory assumption about volatility are documented, by comparing ...
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is m...
International audienceWe consider fractional stochastic volatility models that extend the classic Bl...
It is commonly accepted that certain financial data exhibit long-range dependence. We consider a con...
Abstract: It is now recognized that long memory and structural change can easily be confused because...
We establish double Heston model with approximative fractional stochastic volatility in this article...
The long memory properties of the integrated and realized volatility are investigated under the assu...
Following the important work on unit roots and cointegration which started in the mid-1980s, a great...
Asset price volatility appears to be more persistent than can be captured by individual, short memor...
The long memory properties of the integrated and realized volatility are investigated under the ass...
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We...