Log-normal stochastic volatility model with quadratic drift

DOI10.1142/S0219024924500031WikidataQ130101771 ScholiaQ130101771MaRDI QIDQ6492032

Parviz Rakhmonov, Artur Sepp

Publication date: 24 April 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

closed-form solutionmoment generating functionquadratic variancelog-normal stochastic volatilitycryptocurrency derivativesnonaffine models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

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