The characteristic function of Gaussian stochastic volatility models: an analytic expression
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Publication:2675814
DOI10.1007/s00780-022-00489-4zbMath1498.91443arXiv2009.10972OpenAlexW3124524699WikidataQ114228725 ScholiaQ114228725MaRDI QIDQ2675814
Publication date: 26 September 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.10972
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