The EWMA Heston model (Q6101022)
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scientific article; zbMATH DE number 7698362
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The EWMA Heston model |
scientific article; zbMATH DE number 7698362 |
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The EWMA Heston model (English)
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20 June 2023
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stochastic volatility model
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Heston model
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quadratic rough Heston model
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Zumbach effect
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time-reversal asymmetry
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volatility distribution
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returns distribution
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0.8798685
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0.85746926
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0.8489735
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0.8487583
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