The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index
Year of publication: |
2015
|
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Authors: | Hambly, Ben ; Vaicenavicius, Juozas |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-25
|
Subject: | Index models | stochastic volatility models | large portfolio limit | diffusion approximation | volatility derivatives | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index | Derivat | Derivative |
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