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Mean Escape Time In A System With Stochastic Volatility

PHYSICAL REVIEW E, no. 1 (2007): 016106-016106

Cited: 73|Views24
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Abstract

We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox, Ingersoll, and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a ...More

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