Hedging in long memory stochastic volatility models


Long memory stochastic volatility (LMSV) models have been used to explain the persistence of volatility in the market. In these models, the volatility process is often described by a fractional Ornstein-Uhlenbeck process with... [ view full abstract ]


  1. Qi Zhao (University of Illinois at Urbana-Champaign)
  2. Alexandra Chronopoulou (University of Illinois at Urbana-Champaign)

Topic Areas

Hedging , Stochastic Volatility


WE-A-UI » Hedging: From Theory to Practice (11:30 - Wednesday, 18th July, Ui Chadhain)

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