Moment explosions in stochastic volatility models
| Year of publication: |
2007
|
|---|---|
| Authors: | Andersen, Leif ; Piterbarg, Vladimir |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 1, p. 29-50
|
| Publisher: |
Springer |
| Subject: | Heston model | Stochastic volatility | CEV model | Displaced diffusion model | Moment explosion | Integrability | Martingale property | Volatility smile asymptotics |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184392