"On calibration of stochastic and fractional stochastic volatility models."

Milan Mrázek, Jan Pospisil, Tomás Sobotka (2016)

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DOI: 10.1016/J.EJOR.2016.04.033

access: closed

type: Journal Article

metadata version: 2020-06-29

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Milan Mrázek, Jan Pospisil, Tomás Sobotka:
On calibration of stochastic and fractional stochastic volatility models. Eur. J. Oper. Res. 254(3): 1036-1046 (2016)

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