Stochastic Volatility with Long–Range Dependence
نویسنده
چکیده
Since Merton (1969), the description of a contingent claim as a Brownian motion is commonly accepted. Thus an option price, a future price, a share price, a bond price, interest rates etc., can be modelled with a Brownian motion. In summary, any financial series which present value depends on only a few previous values, may be modelled with a continuous–time diffusion–type process. The general diffusion equation is given by,
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