The α-hypergeometric stochastic volatility model
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the a ffine models, we defi ne a new specifi cation for the dynamics of the stock and its volatility. Within this fram...
| Main Authors: | , |
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| Format: | Others |
| Published: |
The New Zealand Econometrics Study Group (NZESG),
2015-03-06T00:05:30Z.
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| Subjects: | |
| Online Access: | Get fulltext |