An explicitly solvable multi-scale stochastic volatility...

Journal of Futures Markets 2009 Vol. 29; Iss. 9

An explicitly solvable multi-scale stochastic volatility model: Option pricing and calibration problems

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
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Volume:
29
Year:
2009
Language:
english
Pages:
32
DOI:
10.1002/fut.20390
File:
PDF, 457 KB
english, 2009
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