Nicolas A. Hutchings

Banc of America Securities LLC

United States

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Parameter Averaging of Quadratic SDEs With Stochastic Volatility

Number of pages: 35 Posted: 10 Feb 2009
Leif B. G. Andersen and Nicolas A. Hutchings
Bank of America Merrill Lynch and Banc of America Securities LLC
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Abstract:

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Time-averaging, local-stochastic volatility, quadratic local volatility, Heston process