Option Pricing with Long Memory Stochastic Volatility Models
In this thesis, we propose two continuous time stochastic volatility models with long memory that generalize two existing models. More importantly, we provide analytical formulae that allow us to study option prices numerically, rather than by means of simulation. We are not aware about analytical r...
| Main Author: | |
|---|---|
| Other Authors: | |
| Language: | en |
| Published: |
Université d'Ottawa / University of Ottawa
2012
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10393/23490 http://dx.doi.org/10.20381/ruor-6183 |