The first hitting time of stochastic volatility models (Q3132376)
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scientific article; zbMATH DE number 6831803
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| English | The first hitting time of stochastic volatility models |
scientific article; zbMATH DE number 6831803 |
Statements
29 January 2018
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stochastic volatility CEV model
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first-passage times
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martingale method
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joint Laplace transforms
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Whittaker's equation
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0.8063099980354309
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0.7790862321853638
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0.7698574066162109
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0.7670851945877075
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0.7580529451370239
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