Option pricing under a Gamma-modulated diffusion process
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- Iglesias, P., San Martín, J., Torres, S. et al. Ann Finance (2011) 7: 199. doi:10.1007/s10436-011-0176-8
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We study a Gamma-modulated diffusion process as a long-memory generalization of the standard Black-Scholes model. This model introduces a time dependent volatility. The option pricing problem associated with this type of processes is computed.