An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Lorella Fatone; Francesca Mariani; Maria Cristina Recchioni; Francesco Zirilli
| Year of publication: |
2009
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|---|---|
| Authors: | Fatone, Lorella ; Mariani, Francesca ; Recchioni, Maria Cristina ; Zirilli, Francesco |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 29.2009, 9, p. 862-893
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| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003900928