Long memory options: LM evidence and simulations

Time-varying long range dependence in energy futures markets

“…Jamdee and Los (2007) demonstrate how such long memory phenomena change European option values compared to the B-S' GBM assumption. …”

Time-varying long term memory in the European Union stock markets

“…Areal and Armada [39] find tendencies towards mean aversion and mean reversion in Portuguese stock market using several methodologies, however they notice that results are very sensitive to the methodology used and the significance tests performed. Smith and Ryoo [40] test the assertion that stock prices of five European emerging 1 Jamdee and Los [11] demonstrates how long memory phenomena can change European option values compared to the Black-Scholes model assumptions. 2 Mandelbort [3] notes that the arrival of new information cannot be fully arbitraged away in the presence of long memory and asset pricing with martingale models cannot be obtained from arbitrage.…”

Dynamic efficiency of stock markets and exchange rates

“…3 For example, Kyaw et al (2006) states that the Black-Scholes' (B-S) Geometric Brownian Motion (GBM) assumes Fickian neutral independence of the returns innovations whereas late empirical researchers observe non-Fickian degrees of persistence in the financial markets. Jamdee and Los (2007) demonstrates how such long memory phenomena change European option values compared to the B-S' GBM assumption. slow reaction to new information, the effect of foreign capital flow 4 and possible severe effects of nonsynchronous trading (Cajueiro and Tabak, 2004a).…”