activity
20062023
most citedNon-exponential stability and decay rates in nonlinear stochastic difference equation with unbounded noises

38 citations · 70 across the 29 of their papers we have counts for

collaborators
Showing 2012 · q-fin.PRShow all

1 paper · 2 filters

q-fin.PR2012★ 4 cited

A Black--Scholes Model with Long Memory

John A. D. Appleby, John A. Daniels, Katja Krol

This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stat…