Moment explosions in stochastic volatility models

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Publication:2463702

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DOI10.1007/s00780-006-0011-7zbMath1142.65004OpenAlexW3125660228MaRDI QIDQ2463702

Leif B. G. Andersen, Vladimir V. Piterbarg

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0011-7

zbMATH Keywords

stochastic volatility integrability Heston model CEV model martingale property displaced diffusion model moment explosion volatility smile asymptotics

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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