A Black--Scholes Model with Long Memory
  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. 
John A. D. Appleby, John A. Daniels, Katja Krol
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