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The EWMA Heston model - MaRDI portal

The EWMA Heston model (Q6101022)

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scientific article; zbMATH DE number 7698362
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English
The EWMA Heston model
scientific article; zbMATH DE number 7698362

    Statements

    title
    The EWMA Heston model (English)
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    author
    Q6101021
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    publication date
    20 June 2023
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    zbMATH Keywords
    stochastic volatility model
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    Heston model
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    quadratic rough Heston model
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    Zumbach effect
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    time-reversal asymmetry
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    volatility distribution
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    returns distribution
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    Identifiers

    Mathematics Subject Classification ID
    91G15
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    91B70
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    60H30
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    zbMATH DE Number
    7698362
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    OpenAlex ID
    W4308841973
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