This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange ...
A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...
We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...
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