Log-normal stochastic volatility model with quadratic drift (Q6492032)
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scientific article; zbMATH DE number 7837642
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Log-normal stochastic volatility model with quadratic drift |
scientific article; zbMATH DE number 7837642 |
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Log-normal stochastic volatility model with quadratic drift (English)
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24 April 2024
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log-normal stochastic volatility
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nonaffine models
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closed-form solution
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moment generating function
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cryptocurrency derivatives
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quadratic variance
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0.7682574987411499
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0.7394878268241882
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0.7345837354660034
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0.7266420125961304
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0.7177044749259949
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