Moment explosions and long-term behavior of affine stochastic volatility models

Keller-Ressel, Martin . Mathematical Finance 2011. 21 (1) :73-98

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Bibtex

@article{CIS-251207,
  Author = {Keller-Ressel, Martin},
  Title = {Moment explosions and long-term behavior of affine stochastic volatility models},
  Journal = {Mathematical Finance},
  Volume = {21},
  Number = {1},
  Year = {2011},
  Pages = {73--98},
  Keywords = {Affine process}
}

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