Log-normal stochastic volatility model with quadratic drift (Q6492032): Difference between revisions

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Revision as of 12:46, 3 December 2024

scientific article; zbMATH DE number 7837642
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English
Log-normal stochastic volatility model with quadratic drift
scientific article; zbMATH DE number 7837642

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    Log-normal stochastic volatility model with quadratic drift (English)
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    24 April 2024
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    log-normal stochastic volatility
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    nonaffine models
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    closed-form solution
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    moment generating function
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    cryptocurrency derivatives
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    quadratic variance
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