Combined multiplicative-Heston model for stochastic volatility

DOI10.1016/J.PHYSA.2020.125263OpenAlexW3087102017MaRDI QIDQ2143315

R. A. Serota, M. Dashti. Moghaddam

Publication date: 31 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.10793

zbMATH Keywords

volatilitydistribution tailsmultiplicativeHestonbeta prime

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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