On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127)
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scientific article; zbMATH DE number 7632208
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions |
scientific article; zbMATH DE number 7632208 |
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On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (English)
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13 December 2022
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double Heston model
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fractional CIR
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long memory stochastic volatility
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non-Lipschitz diffusion
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