Time-changed fast mean-reverting stochastic volatility models (Q3225033)
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scientific article
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| English | Time-changed fast mean-reverting stochastic volatility models |
scientific article |
Statements
TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (English)
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13 March 2012
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stochastic volatility
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stochastic time-change
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implied volatility
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Lévy subordinator
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jump-diffusion
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multiscale
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0.8010144233703613
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0.7918087840080261
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0.7883175611495972
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0.7751227021217346
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0.7746336460113525
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