4 citations · 4 across the 1 of their papers we have counts for
2 papers
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…
math.CA2010
Long Memory in a Linear Stochastic Volterra Differential Equation
John A. D. Appleby, Katja Krol
In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at in…