A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Year of publication: |
2018
|
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Authors: | Rebonato, Riccardo ; Ng, Chu Ming |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 25.2018, 3, p. 55-80
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Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory |
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