The Jacobi stochastic volatility model

DOI10.1007/s00780-018-0364-8zbMath1402.91746arXiv1605.07099OpenAlexW3122549126WikidataQ129821103 ScholiaQ129821103MaRDI QIDQ1650944

Damien Ackerer, Damir Filipović, Sergio Pulido

Publication date: 16 July 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.07099

zbMATH Keywords

stochastic volatilityoption pricingJacobi processpolynomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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