MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS

DOI10.1111/j.1467-9965.2010.00423.xzbMath1229.91135arXiv0802.1823MaRDI QIDQ3069958

Martin Keller-Ressel

Publication date: 2 February 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.1823

zbMATH Keywords

stochastic volatility; implied volatility smile; affine process; moment explosions

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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