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- W2039355302 abstract "We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting. Three examples of random time-changes are provided and the implied volatility surfaces induced by these time-changes are examined as a function of the model parameters. Three key features of our framework are that we are able to incorporate jumps into the price process of the underlying asset, allow for the leverage effect, and accommodate multiple factors of volatility, which operate on different time-scales." @default.
- W2039355302 created "2016-06-24" @default.
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- W2039355302 date "2010-01-01" @default.
- W2039355302 modified "2023-09-23" @default.
- W2039355302 title "Time-Changed Fast Mean-Reverting Stochastic Volatility Models" @default.
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- W2039355302 doi "https://doi.org/10.2139/ssrn.1697690" @default.
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