Log-normal stochastic volatility model with quadratic drift
Year of publication: |
2023
|
---|---|
Authors: | Sepp, Artur ; Rakhmonov, Parviz |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 8, Art.-No. 2450003, p. 1-63
|
Subject: | closed-form solution | cryptocurrency derivatives | Log-normal stochastic volatility | moment generating function | nonaffine models | quadratic variance | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
-
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang, (2024)
-
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen, (2021)
-
The empirical performance of option based densities of foreign exchange
Craig, Ben R., (2002)
- More ...
-
Robust Log-normal Stochastic Volatility for Interest Rate Dynamics
Sepp, Artur, (2023)
-
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz, (2019)
-
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz, (2022)
- More ...