Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed … the (latent) integrated volatility of primary import from a pricing perspective based on simple reduced form time series … on the eigenfunction stochastic volatility class of models introduced by Meddahi (2001), we present analytical …