Escape problem under stochastic volatility: The Heston model

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 78, Issue 5, 2008, Pages

  Masoliver, Jaume ^a   Perelló, Josep ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

RANDOM PROCESSES; STOCHASTIC MODELS;

ASYMPTOTIC LIMITS; ESCAPE PROBLEMS; ESCAPE TIMES; FINITE INTERVALS; HESTON MODELS; LARGE SPANS; MEAN EXIT TIMES; RANDOM DIFFUSIONS; STOCHASTIC VOLATILITIES; SURVIVAL PROBABILITIES; THREE PARAMETERS; WIENER PROCESSES;

PROBLEM SOLVING;

EID: 56649089428     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.78.056104     Document Type: Article

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