The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will try to ans
โฆ LIBER โฆ
Time scales in stochastic multiregional models
โ Scribed by Luis Sanz; Rafael Bravo de la Parra
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 221 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1468-1218
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