Browsing Rede de Pesquisa e Conhecimento Aplicado by Author "Tessari, Cristina"

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    • Option pricing under multiscale stochastic volatility 

      Tessari, Cristina; Almeida, Caio Ibsen Rodrigues de
      2015
      The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...