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"On the calibration of fractional two-factor stochastic volatility model ..."

Farshid Mehrdoust, Somayeh Fallah (2022)

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DOI: 10.1080/03610918.2020.1801730

access: closed

type: Journal Article

metadata version: 2023-01-14

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Farshid Mehrdoust, Somayeh Fallah:
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. Commun. Stat. Simul. Comput. 51(11): 6332-6351 (2022)

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