%0 Journal Article
%T A Black--Scholes Model with Long Memory
%A John A. D. Appleby
%A John A. Daniels
%A Katja Krol
%J Quantitative Finance
%D 2012
%I arXiv
%X This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stationary and possesses long memory are characterised. Connections with the class of ARCH($\infty$) processes are sketched.
%U http://arxiv.org/abs/1202.5574v1