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On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions.
Farshid Mehrdoust
Somayeh Fallah
Published in:
Commun. Stat. Simul. Comput. (2022)
Keyphrases
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parameter estimation
computational model
high order
stochastic model
learning algorithm
reinforcement learning
probabilistic model
non stationary
statistical model
hybrid model
stochastic process
stochastic programming