Stochastic volatility and stochastic leverage
| Year of publication: |
2012
|
|---|---|
| Authors: | Veraart, Almut ; Veraart, Luitgard |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 205-233
|
| Publisher: |
Springer |
| Subject: | Stochastic volatility | Volatility of volatility | Stochastic correlation | Leverage effect | Jacobi process | Ornstein–Uhlenbeck process | Square root diffusion | Lévy process | Heston model | Barndorff-Nielsen & Shephard model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866544