Moment explosions and long-term behavior of affine stochastic volatility models

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Author
Keller-Ressel, Martin
Date
2011-01
Type
    Journal Article
Publication status
published
External links
Journal / series
Mathematical Finance
Volume
21(1)
Pages / Article No.
73 - 98
Publisher
Wiley-Blackwell
Subject
affine process; stochastic volatility; moment explosions; implied volatility smile
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef  
Notes
Issue 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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