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Corrigendum to “Estimating Long Memory in Volatility”

✍ Scribed by Clifford M. Hurvich; Eric Moulines; Philippe Soulier

Book ID
111052688
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
35 KB
Volume
76
Category
Article
ISSN
0012-9682

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The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381-392] where they incorporate long-memory s