Market calibration under a long memory stochastic volatility model (Q4585681)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6933341
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Market calibration under a long memory stochastic volatility model |
scientific article; zbMATH DE number 6933341 |
Statements
Market calibration under a long memory stochastic volatility model (English)
0 references
6 September 2018
0 references
European call option
0 references
stochastic volatility
0 references
long memory
0 references
fractional process
0 references
market calibration
0 references
0 references
0.8272908329963684
0 references
0.8120517134666443
0 references
0.8074139356613159
0 references
0.8008710741996765
0 references
0.7888059020042419
0 references
