On calibration of stochastic and fractional stochastic volatility models (Q323465): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 35R60 / rank | |||
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| Property / Mathematics Subject Classification ID: 35R11 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number: 6636523 / rank | |||
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fractional stochastic volatility model | |||
| Property / zbMATH Keywords: fractional stochastic volatility model / rank | |||
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Heston model | |||
| Property / zbMATH Keywords: Heston model / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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calibration | |||
| Property / zbMATH Keywords: calibration / rank | |||
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optimization | |||
| Property / zbMATH Keywords: optimization / rank | |||
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Revision as of 03:27, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On calibration of stochastic and fractional stochastic volatility models |
scientific article |
Statements
On calibration of stochastic and fractional stochastic volatility models (English)
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7 October 2016
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fractional stochastic volatility model
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Heston model
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option pricing
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calibration
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optimization
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