Multiscale stochastic volatility model for derivatives on futures (Q2941058)
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scientific article; zbMATH DE number 6389033
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multiscale stochastic volatility model for derivatives on futures |
scientific article; zbMATH DE number 6389033 |
Statements
MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES (English)
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21 January 2015
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stochastic volatility
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perturbation method
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options on futures
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futures price
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commodities
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0.7843338847160339
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0.7741343379020691
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0.761906087398529
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0.756121814250946
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0.7529299259185791
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