Some estimates in extended stochastic volatility models of Heston type

DOI10.3233/RDA-2011-0046zbMath1409.62205OpenAlexW1572466500MaRDI QIDQ3119588

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Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0046

zbMATH Keywords

moment explosionItô processes around deterministic curveslaw of the stock pricelocal and stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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