Multifractional stochastic volatility models
Sylvain Corlay; Joachim Lebovits; Jacques Lévy Véhel
| Year of publication: |
2014
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|---|---|
| Authors: | Corlay, Sylvain ; Lebovits, Joachim ; Lévy Véhel, Jacques |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 2, p. 364-402
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| Subject: | Hull & White model | functional quantization | vector quantization | Karhunen-Loève | Gaussian process | fractional Brownian motion | multifractional Brownian motion | white noise theory | S-transform | Wick-Itô integral | stochastic differential equations | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10010357370