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Combined multiplicative-Heston model for stochastic volatility - MaRDI portal

Combined multiplicative-Heston model for stochastic volatility (Q2143315)

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Combined multiplicative-Heston model for stochastic volatility
scientific article

    Statements

    title
    Combined multiplicative-Heston model for stochastic volatility (English)
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    author
    M. Dashti. Moghaddam
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    R. A. Serota
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    published in
    Physica A
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    publication date
    31 May 2022
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    zbMATH Keywords
    volatility
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    Heston
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    multiplicative
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    beta prime
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    distribution tails
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    Identifiers

    zbMATH DE Number
    7534098
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    OpenAlex ID
    W3087102017
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