Correlations and bounds for stochastic volatility models

Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire

Volumn 24, Issue 1, 2007, Pages 1-16

  Lions, P L ^a,b   Musiela, M ^c  

^a l'alimentation et l'Environnement   (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

^c BNP PARIBAS   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PARAMETER ESTIMATION;

CLASSICAL CONDITIONS; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC VOLATILITY MODELS;

RANDOM PROCESSES;

EID: 33751321334     PISSN: 02941449     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.anihpc.2005.05.007     Document Type: Article

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