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The Lifted Heston Stochastic Volatility Model
Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously. We introduce Abi Jaber (2019)'s Lifted Heston model and...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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