Moment explosions in stochastic volatility models
Leif Andersen () and
Vladimir Piterbarg ()
Finance and Stochastics, 2007, vol. 11, issue 1, 29-50
Keywords: Heston model; Stochastic volatility; CEV model; Displaced diffusion model; Moment explosion; Integrability; Martingale property; Volatility smile asymptotics; 65C30; 60H10; E43; G12; G13 (search for similar items in EconPapers)
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