Valuation Equations for Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Valuation Equations for Stochastic Volatility Models
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility process in our model can potentially reach zero and either stay there or instan...
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Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or the consequences of their use. All information, including formulas, documentation, computer algorithms, and computer code are provided with no warranty of any kind, express or implied. Neither the author nor the publisher ...
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Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter γ takes just few values: 0 the Ornstein-Uhlenbeck process, 1/2 the Heston (or square root) process, 1GARCH, and 3/2 the 3/2 model. Some other models were discovered in Henry-Labordére (2009) by making connection between stochastic volatility and solvable diffusion processes...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2012
ISSN: 1945-497X
DOI: 10.1137/110842302