Elasticity of Variance of Variance

Research output: Contribution to journal › Comment/debate › Communication

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Elasticity of Variance of Variance. / Poulsen, Rolf.

In: Wilmott, No. 105, 2020, p. 30-32.

Research output: Contribution to journal › Comment/debate › Communication

Harvard

Poulsen, R 2020, 'Elasticity of Variance of Variance', Wilmott, no. 105, pp. 30-32.

APA

Poulsen, R. (2020). Elasticity of Variance of Variance. Wilmott, (105), 30-32.

Vancouver

Poulsen R. Elasticity of Variance of Variance. Wilmott. 2020;(105):30-32.

Author

Poulsen, Rolf. / Elasticity of Variance of Variance. In: Wilmott. 2020 ; No. 105. pp. 30-32.

Bibtex

@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",

}

RIS

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 -

ID: 236481213