What Is a Robust Stochastic Volatility Model
The article explores the use of stochastic volatility models in valuing derivative securities, highlighting the effectiveness of affine Heston and lognormal models.
Featured in No. 27 on 29 Nov 2023 · 2 days after release · 2 citations today
- Released
- 27 Nov 2023
- First featured
- No. 27 · 29 Nov 2023
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- SSRN 4647027
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).