How does the volatility of volatility depend on volatility?
Year of publication: |
2020
|
---|---|
Authors: | Rømer, Sigurd Emil ; Poulsen, Rolf |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 2, p. 1-18
|
Publisher: |
Basel : MDPI |
Subject: | stochastic volatility | elasticity of variance of variance | Heston | SABR |
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