On moment non-explosions for Wishart-based stochastic volatility models (Q323428)
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scientific article; zbMATH DE number 6636509
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| English | On moment non-explosions for Wishart-based stochastic volatility models |
scientific article; zbMATH DE number 6636509 |
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On moment non-explosions for Wishart-based stochastic volatility models (English)
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7 October 2016
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pricing
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moment non-explosions
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Wishart multidimensional stochastic volatility model
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Wishart affine stochastic correlation model
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0.8081730604171753
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0.7682546973228455
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0.7588011622428894
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0.7563899755477905
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