Time dependent Heston model (Q3563695)
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scientific article; zbMATH DE number 5714650
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Time dependent Heston model |
scientific article; zbMATH DE number 5714650 |
Statements
Time Dependent Heston Model (English)
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1 June 2010
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time dependent Heston model
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Cox-Ingersoll-Ross model
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Malliavin calculus
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asymptotic expansion
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volatility of volatility
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0.8129280209541321
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0.7958003878593445
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0.7934171557426453
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0.7861695885658264
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0.7836915850639343
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