Introducing two mixing fractions to a lognormal local-stochastic volatility model
Geoffrey Lee, Bowie Owens and Zili Zhu
| Year of publication: |
2020
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|---|---|
| Authors: | Lee, Geoffrey ; Owens, Bowie ; Zhu, Zili |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 3, p. 41-58
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| Subject: | exotic option pricing | local-stochastic volatility | mixing fraction | foreign exchange | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.389 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012543634