Moment explosions and long-term behavior of affine stochastic volatility models
- Journal Article
Journal / seriesMathematical finance
Subjectaffine process; stochastic volatility; moment explosions; implied volatility smile
Organisational unit03845 - Teichmann, Josef
NotesIssue published online 15 December 2010, Article first published online 14 September 2010, Manuscript received February 2008, Final revision received February 2009.
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