Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117)
From MaRDI portal
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)
0 references
8 May 2019
0 references
fractional long-range correlation
0 references
mean reversion
0 references
Ornstein-Uhlenbeck process
0 references
stochastic volatility
0 references
0 references
0 references
0 references
