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~person:"Valchev, Stoyan"
~subject:"stochastic volatility"
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stochastic volatility
Heath-Jarrow-Morton model
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Valchev, Stoyan
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Stochastic volatility Gaussian Heath-Jarrow-Morton models
Valchev, Stoyan
- In:
Applied Mathematical Finance
11
(
2004
)
4
,
pp. 347-368
continuous
time
Ho-Lee and Hull-White extended Vasicek models are obtained. Introducing a regime shift in volatility that is an …
Persistent link: https://www.econbiz.de/10005462497
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