THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

By Martino Grasselli. 2017

153 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/6df84937432d88769b607fed73a221c1e7bc1392

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…that Feller’s condition ηθ > 12σ 2 v is satisfied, and for a, b > 0, the volatility component [a√vt + b√vt ] is uniformly bounded away from zero2, see Grasselli (2017) The change of variable that will help us to remove the correlation between the two stochastic processes W 1t , W 2 t in (25)…”