Consequences for option pricing of a long memory in volatility

Accounting and Finance

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Published

Standard

Consequences for option pricing of a long memory in volatility. / Taylor, Stephen J.
Handbook of Financial Econometrics and Statistics. ed. / Cheng-Few Lee; John Lee. Vol. 2 New York: Springer SBM, 2015. p. 903-933.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Taylor, SJ 2015, Consequences for option pricing of a long memory in volatility. in C-F Lee & J Lee (eds), Handbook of Financial Econometrics and Statistics. vol. 2, Springer SBM, New York, pp. 903-933.

APA

Taylor, S. J. (2015). Consequences for option pricing of a long memory in volatility. In C-F. Lee, & J. Lee (Eds.), Handbook of Financial Econometrics and Statistics (Vol. 2, pp. 903-933). Springer SBM.

Vancouver

Taylor SJ. Consequences for option pricing of a long memory in volatility. In Lee C-F, Lee J, editors, Handbook of Financial Econometrics and Statistics. Vol. 2. New York: Springer SBM. 2015. p. 903-933

Author

Taylor, Stephen J. / Consequences for option pricing of a long memory in volatility. Handbook of Financial Econometrics and Statistics. editor / Cheng-Few Lee ; John Lee. Vol. 2 New York : Springer SBM, 2015. pp. 903-933

Bibtex

@inbook{7e3489f53ffc44d19702b42f328e6e7a,

title = "Consequences for option pricing of a long memory in volatility",

author = "Taylor, {Stephen J.}",

year = "2015",

language = "English",

isbn = "9781461477495",

volume = "2",

pages = "903--933",

editor = "Cheng-Few Lee and John Lee",

booktitle = "Handbook of Financial Econometrics and Statistics",

publisher = "Springer SBM",

}

RIS

TY - CHAP

T1 - Consequences for option pricing of a long memory in volatility

AU - Taylor, Stephen J.

PY - 2015

Y1 - 2015

M3 - Chapter

SN - 9781461477495

VL - 2

SP - 903

EP - 933

BT - Handbook of Financial Econometrics and Statistics

A2 - Lee, Cheng-Few

A2 - Lee, John

PB - Springer SBM

CY - New York

ER -

Research