Market calibration under a long memory stochastic volatility model
Year of publication: |
December 2016
|
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Authors: | Pospíšil, Jan ; Sobotka, Tomáš |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 323-343
|
Subject: | European call option | stochastic volatility | long memory | fractional process | market calibration | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
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