Affine fractional stochastic volatility models
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Publication:470522
DOI10.1007/S10436-010-0165-3zbMATH Open1298.60067OpenAlexW2028867268MaRDI QIDQ470522FDOQ470522
F. Comte, E. Renault, L. Coutin
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-010-0165-3
Derivative securities (option pricing, hedging, etc.) (91G20) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)
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Cited In (69)
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