On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions

DOI10.1080/03610918.2020.1801730OpenAlexW3048340759MaRDI QIDQ5055127

Farshid Mehrdoust, Somayeh Fallah

Publication date: 13 December 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1801730

zbMATH Keywords

non-Lipschitz diffusionlong memory stochastic volatilitydouble Heston modelfractional CIR

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91Gxx)

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