Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish (US)
Title of host publicationHandbook of Modeling High-Frequency Data in Finance
PublisherJohn Wiley & Sons, Ltd.
Number of pages13
ISBN (Print)9780470876886
StatePublished - Nov 7 2011
Externally publishedYes


  • Hurst index, option prices
  • LMSV model calibration
  • LMSV, three parameter estimation

ASJC Scopus subject areas

  • General Economics, Econometrics and Finance

Cite this