Moment explosions and long-term behavior of affine stochastic volatility models (Q3069958)
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scientific article; zbMATH DE number 5843568
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| English | Moment explosions and long-term behavior of affine stochastic volatility models |
scientific article; zbMATH DE number 5843568 |
Statements
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (English)
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2 February 2011
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affine process
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stochastic volatility
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moment explosions
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implied volatility smile
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0.8429280519485474
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0.8270201683044434
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0.8061730265617371
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0.7979974746704102
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0.7920951843261719
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