A Fractional Version of the Heston Model with Hurst Parameter H ∈ (1/2, 1)
Year of publication: |
2016
|
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Authors: | Lepinette, Emmanuel ; Mehrdoust, Farshid |
Publisher: |
[S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (12 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 12, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2884010 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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