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We consider the supOU stochastic volatility model which is able to exhibitlong-range dependence. For this model we give conditions for the discountedstock price to be a martingale, calculate the characteristic function, give astrip where it is analytic and discuss the use of Fourier pricing techniques.  Finally, we present a concrete specification with polynomially decayingautocorrelations and calibrate it to observed market prices of plain vanillaoptions.

Derivative pricing under the possibility of long memory in the supOU stochastic volatility model