The EWMA Heston model
Year of publication: |
2023
|
---|---|
Authors: | Parent, Léo |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 71-93
|
Subject: | Heston model | Quadratic rough Heston model | Returns distribution | Stochastic volatility model | Time-reversal asymmetry | Volatility distribution | Zumbach effect | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
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