Stochastic volatility and stochastic leverage (Q470516)
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scientific article; zbMATH DE number 6368835
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic volatility and stochastic leverage |
scientific article; zbMATH DE number 6368835 |
Statements
Stochastic volatility and stochastic leverage (English)
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12 November 2014
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stochastic volatility
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volatility of volatility
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stochastic correlation
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leverage effect
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Jacobi process
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Ornstein-Uhlenbeck process
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square root diffusion
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Lévy process
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Heston model
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Barndorff-Nielsen model
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Shephard model
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0.8346232771873474
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0.8222194314002991
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0.8184175491333008
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0.8179255723953247
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0.8080492615699768
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