Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34
This paper introduces and studies a new family of diffusion models for stock prices with applications in portfolio optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the SEV-SV model. In particular, we focus on the SEV...