Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:10, 5 March 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)
0 references
8 May 2019
0 references
fractional long-range correlation
0 references
mean reversion
0 references
Ornstein-Uhlenbeck process
0 references
stochastic volatility
0 references
