Elasticity of Variance of Variance

Research output: Contribution to journalComment/debate

An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.
Original languageEnglish
JournalWilmott
Issue number105
Pages (from-to)30-32
ISSN1540-6962
Publication statusPublished - 2020

ID: 236481213