Path integrals in fluctuating markets with a non-Gaussian option pricing model

© 2005 COPYRIGHT SPIE--The International Society for Optical EngineeringIt is well established that volatility has a memory of the past, moreover it is found that volatility correlations are long ranged. As a consequence the volatility cannot be characterized by a single correlation time. Recent empirical work suggests that the volatility correlation functions of various assets actually decay as a power law.Frederic D. R. Bonnet, John van der Hoek, Andrew Allison, and Derek Abbot