The characteristic function of Gaussian stochastic volatility models : an analytic expression

Eduardo Abi Jaber

Year of publication:	2022
Authors:	Abi Jaber, Eduardo
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 733-769
Subject:	Fast pricing \| Non-Markovian models \| Stochastic volatility models \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility

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