On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127)

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scientific article; zbMATH DE number 7632208
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On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
scientific article; zbMATH DE number 7632208

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    On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (English)
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    13 December 2022
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    double Heston model
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    fractional CIR
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    long memory stochastic volatility
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    non-Lipschitz diffusion
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