Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117): Difference between revisions

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Latest revision as of 12:10, 23 October 2024

scientific article; zbMATH DE number 7052621
Language Label Description Also known as
English
Option pricing under fast‐varying long‐memory stochastic volatility
scientific article; zbMATH DE number 7052621

    Statements

    Option pricing under fast‐varying long‐memory stochastic volatility (English)
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    8 May 2019
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    fractional long-range correlation
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    mean reversion
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    Ornstein-Uhlenbeck process
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    stochastic volatility
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