On moment non-explosions for Wishart-based stochastic volatility models
Year of publication: |
1 November 2016
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Authors: | Fonseca, José da |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 3 (1.11.), p. 889-894
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Subject: | Pricing | Moment non-explosions | Wishart multidimensional stochastic volatility model | Wishart affine stochastic correlation model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation |
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