On the stochastic elasticity of variance diffusions
Jeong-Hoon Kim, Ji-Hun Yoon, Jungwoo Lee, Sun-Yong Choi
| Year of publication: |
December 2015
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|---|---|
| Authors: | Kim, Jeong-Hoon ; Yoon, Ji-Hun ; Lee, Jungwoo ; Choi, Sun-Yong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 263-268
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| Subject: | Stochastic elasticity of variance | Multiscale | Leverage effect | Implied volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Elastizität | Elasticity | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.08.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475989