Affine fractional stochastic volatility models (Q470522)

From MaRDI portal
Revision as of 00:21, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Affine fractional stochastic volatility models
scientific article

    Statements

    title
    Affine fractional stochastic volatility models (English)
    0 references
    author
    J. Herrera
    0 references
    Sumit K. Garg
    0 references
    publication date
    12 November 2014
    0 references
    zbMATH Keywords
    fractional integrals
    0 references
    long memory processes
    0 references
    integrated volatility
    0 references
    option pricing
    0 references
    stochastic volatility
    0 references

    Identifiers

    Mathematics Subject Classification ID
    60H30
    0 references
    60G22
    0 references
    62M09
    0 references
    91B70
    0 references
    91G20
    0 references
    zbMATH DE Number
    6368840
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q470522&oldid=25596252"
    Powered by MediaWiki