THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (Q5371135)
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scientific article; zbMATH DE number 6797484
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL |
scientific article; zbMATH DE number 6797484 |
Statements
THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (English)
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24 October 2017
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stochastic volatility
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volatility modeling
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Lie's symmetries
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Laplace transform
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exact simulation
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