A multiscale stochastic volatility model in mathematical finance
L. Fatone; MARIANI, FRANCESCA; M. C. Recchioni; F. Zirilli;
A multiscale stochastic volatility model in mathematical finance
An explicitly solvable multiscale stochastic volatility model that generalizes the Heston model has been introduced and studied.
Italy
- University of Verona Italy
- University of Camerino Italy
multiscale Heston volatility model; maximum likelihood; filtering problem
multiscale Heston volatility model; maximum likelihood; filtering problem
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selected citations
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These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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