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Latest revision as of 00:31, 5 July 2024

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TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS
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    TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (English)
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    13 March 2012
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    stochastic volatility
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    stochastic time-change
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    implied volatility
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    Lévy subordinator
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    jump-diffusion
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    multiscale
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