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q-fin.PR2014
Derivative pricing under the possibility of long memory in the supOU stochastic volatility model
Robert Stelzer, Jovana Zavišin
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingal…
q-fin.PR2010★ 69 cited
Option Pricing in Multivariate Stochastic Volatility Models of OU Type
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several…