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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to be able to capture the volatility skew evolution better than...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Routledge
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5490639/ https://www.ncbi.nlm.nih.gov/pubmed/28706460 http://dx.doi.org/10.1080/1350486X.2017.1285242 |