A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Riccardo Rebonato and Chu Ming Ng
| 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
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011941367