Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing
Jiling Cao, Jeong-Hoon Kim, Wenqiang Liu, Wenjun Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Cao, Jiling ; Kim, Jeong-Hoon ; Liu, Wenqiang ; Zhang, WenJun |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 2, p. 1-8
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| Subject: | 4/2 stochastic volatility | Closed-form formula | Derivative | Double-mean-reversion | Implied volatility | Volatilität | Volatility | Derivat | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104374 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014583526