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Consequences for option pricing of a long memory in volatility

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

Published
Publication date2015
Host publicationHandbook of Financial Econometrics and Statistics
EditorsCheng-Few Lee, John Lee
Place of PublicationNew York
PublisherSpringer SBM
Pages903-933
Number of pages31
Volume2
ISBN (print)9781461477495
<mark>Original language</mark>English