An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
| Year of publication: |
2022
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| Authors: | Cox, Sonja ; Karbach, Sven ; Khedher, Asma |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 3, p. 878-906
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| Subject: | forward price dynamics | Heath-Jarrow-Morton-Musiela framework | infinite-dimensional affine processes | Riccati equations | state-dependent jump intensity | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12347 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013331066