The mean-reverting 4/2 stochastic volatility model: properties and financial applications
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Publication:6578150
DOI10.1002/asmb.2534MaRDI QIDQ6578150
Marcos Escobar Anel, Zhenxian Gong
Publication date: 25 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Consistent modeling of S\&P 500 and VIX derivatives
- Functionals of multidimensional diffusions with applications to finance
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- Stochastic Processes and Long Range Dependence
- Stochastic volatility models and the pricing of VIX options
- A theory of the term structure of interest rates
- THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- EXACT SIMULATION OF THE 3/2 MODEL
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- A comparison of biased simulation schemes for stochastic volatility models
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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