Nicolas A. Hutchings

Banc of America Securities LLC

United States

SCHOLARLY PAPERS

1

DOWNLOADS

1,670

TOTAL CITATIONS

4

Scholarly Papers (1)

1.

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 and Banc of America Securities LLC
Downloads 1,670 (23,241)
Citation 4

Abstract:

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