The Rough Hawkes Heston Stochastic Volatility Model
Year of publication: |
2022
|
---|---|
Authors: | Bondi, Alessandro ; Pulido, Sergio ; Scotti, Simone |
Publisher: |
[S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (33 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 20, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4253827 [DOI] |
Classification: | C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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