Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
compare this approach with the most popular stochastic volatility model in the Cox-Ingresoll-Ross (CIR) model. Within this … from stochastic volatility models such as the Cox-Ingresoll-Ross (CIR) model, which, in comparison, follows a stochastic …, we will use the CIR model for comparison within this paper, due to the popularity of the CIR model. Therefore, in this …