An explicitly solvable multi-scale stochastic volatility model: Option pricing and calibration problems

Journal of Futures Markets

Volumn 29, Issue 9, 2009, Pages 862-893

  Fatone, Lorella ^a   Mariani, Francesca ^b   Recchioni, Maria Cristina ^c   Zirilli, Francesco ^a,b  

^a UNIVERSITY OF CAMERINO   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 76249110505     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20390     Document Type: Article

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