MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958): Difference between revisions
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Revision as of 20:55, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS |
scientific article |
Statements
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (English)
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2 February 2011
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affine process
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stochastic volatility
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moment explosions
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implied volatility smile
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