Long Memory in Continuous Time Stochastic Volatility Models

F. Comte and Eric Renault

Working Papers from Toulouse - GREMAQ

Abstract: This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the implications of this long memory continuous time modelization, on the volatility process itself, as well as on the global asset pricing model.

Keywords: ECONOMETRICS; MODELS; MATHEMATICS; UNCERTAINTY; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C10 D80 D81 G10 G12 (search for similar items in EconPapers)
Pages: 38 pages
Date: 1996
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Citations: View citations in EconPapers (92)

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Journal Article: Long memory in continuous‐time stochastic volatility models (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:gremaq:96.406

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