Elasticity of Variance of Variance

Publikation: Bidrag til tidsskrift › Kommentar/debat › Formidling

Abstract

An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.

@article{fef5a2e3234247f7b165428c41732d24,

title = "Elasticity of Variance of Variance",

abstract = "An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.",

author = "Rolf Poulsen",

year = "2020",

language = "English",

pages = "30--32",

journal = "Wilmott",

issn = "1540-6962",

publisher = "Wiley",

number = "105",

}

TY - JOUR

T1 - Elasticity of Variance of Variance

AU - Poulsen, Rolf

PY - 2020

Y1 - 2020

N2 - An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.

AB - An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.

M3 - Comment/debate

SP - 30

EP - 32

JO - Wilmott

JF - Wilmott

SN - 1540-6962

IS - 105

ER -