The characteristic function of Gaussian stochastic volatility models : an analytic expression
Year of publication: |
2022
|
---|---|
Authors: | Abi Jaber, Eduardo |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 733-769
|
Subject: | Fast pricing | Non-Markovian models | Stochastic volatility models | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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