An infinite-dimensional affine stochastic volatility model
Year of publication: |
2022
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Authors: | Cox, Sonja ; Karbach, Sven ; Khedher, Asma |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 3, p. 878-906
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Subject: | forward price dynamics | Heath-Jarrow-Morton-Musiela framework | infinite-dimensional affine processes | Riccati equations | state-dependent jump intensity | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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