The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model
Year of publication: |
October 2017
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Authors: | Grasselli, Martino |
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. 27.2017, 4, p. 1013-1034
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Subject: | stochastiv volatility | volatility modeling | Lie's symmetries | Laplace transform | exact simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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