Rough stochastic elasticity of variance and option pricing
Jiling Cao, Jeong-Hoon Kim, See-Woo Kim, Wenjun Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Cao, Jiling ; Kim, Jeong-Hoon ; Kim, See-Woo ; Zhang, WenJun |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 37.2020, p. 1-11
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| Subject: | Fractional Ornstein-Uhlenbeck process | Hurst exponent | Mean reversion | Short range correlation | Stochastic elasticity of variance | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Mean Reversion | Korrelation | Correlation | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.101381 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012485014