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SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL
LANGRENÉ, NICOLAS, LEE, GEOFFREY, ZHU, ZILILanguage:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/s021902491650031x
Date:
May, 2016
File:
PDF, 620 KB
english, 2016