TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS |
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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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