Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
- Yiannis A. Papadopoulos & Alan L. Lewis, 2018. "A First Option Calibration of the GARCH Diffusion Model by a PDE Method," Papers 1801.06141, arXiv.org.
- Yuri F. Saporito & Xu Yang & Jorge P. Zubelli, 2017. "The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective," Papers 1711.03023, arXiv.org.
- Kaustav Das & Nicolas Langren'e, 2018. "Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Aug 2019.
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