Lifting the Heston model (Q5120731)
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scientific article; zbMATH DE number 7247988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lifting the Heston model |
scientific article; zbMATH DE number 7247988 |
Statements
Lifting the Heston model (English)
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16 September 2020
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stochastic volatility
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implied volatility
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affine Volterra processes
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Riccati equations
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rough volatility
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