Fourier-Laplace Transforms in Polynomial Ornstein-Uhlenbeck Volatility Models
The article investigates the Fourier-Laplace transforms of various polynomial Ornstein-Uhlenbeck volatility models, linking it with the solution of an infinite dimensional Riccati equation.
Featured in No. 48 on 8 May 2024 · 5 days after release · 8 citations today
- Released
- 3 May 2024
- First featured
- No. 48 · 8 May 2024
- Citations (Semantic Scholar)
- 8
- Influential citations
- 1
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- SSRN 4816314
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