Moment explosions in stochastic volatility models

Finance and Stochastics

Volumn 11, Issue 1, 2007, Pages 29-50

  Andersen, Leif B G ^a   Piterbarg, Vladimir V ^b  

^a Bank of America   (United States)

^b Barclays   (United Kingdom)

Author keywords

CEV model; Displaced diffusion model; Heston model; Integrability; Martingale property; Moment explosion; Stochastic volatility; Volatility smile asymptotics

Indexed keywords

EID: 33845957927     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0011-7     Document Type: Article

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