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Long Memory in Continuous Time Stochastic Volatility Models

Author

Listed:
  • Comte, F.
  • Renault, E.
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.

Suggested Citation

  • Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:96.406
    as

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    Keywords

    ECONOMETRICS; MODELS; MATHEMATICS; UNCERTAINTY; FINANCIAL MARKET;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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