TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024911006875zbMath1233.91285arXiv1010.5203MaRDI QIDQ3225033

Matthew Lorig

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.5203

zbMATH Keywords

stochastic volatilitymultiscaleimplied volatilityjump-diffusionLévy subordinatorstochastic time-change

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS

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