Affine forward variance models
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterised by the affine form of their cumulant-generating function, which can be obtained as solution of a convo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Verlag
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |