Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models

arXiv:2405.02170 · q-fin.MF, q-fin.CP, q-fin.PR · Submitted 2024-05-03 · Read on arXiv

q-fin.MF, q-fin.CP, q-fin.PR

Submitted: 2024-05-03

Updated: 2026-10-25

Terminology

• Calibration — 2× in this paper · explained in 9 episodes
• Accuracy — 1× in this paper · explained in 1 episode

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