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SSRNDerivatives & Volatility

What Is a Robust Stochastic Volatility Model

The article explores the use of stochastic volatility models in valuing derivative securities, highlighting the effectiveness of affine Heston and lognormal models.

Featured in No. 27 on 29 Nov 2023 · 2 days after release · 2 citations today

Released
27 Nov 2023
First featured
No. 27 · 29 Nov 2023
Citations (Semantic Scholar)
2
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
6
Identifier
SSRN 4647027

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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