Simon Fabian Ernst Feistle
Title
Ph.D.
Last Name
Feistle
First name
Simon Fabian Ernst
Email
simon.feistle@unisg.ch
Phone
+41 71 224 2468
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Item type:Publication, A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time(2024-06-07); ; Alexander V. MelnikovThis paper introduce the ARGSV-MXN model that is structure-preserving under the risk-neutral measure if combined with exponential affine stochastic discount factor.Type:conference speech