Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117): Difference between revisions
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Revision as of 02:05, 20 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)
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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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