Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
作者： Geoffrey Lee , Zili Zhu , Nicolas Langren 'e
DOI:
关键词: Applied mathematics 、 Affine transformation 、 Mathematics 、 Inverse 、 Order (ring theory) 、 Greeks 、 Stochastic volatility 、 Volatility (finance) 、 Put option 、 Distribution (mathematics)
摘要: We examine the inverse gamma (IGa) stochastic volatility model with time-dependent parameters. This nonaffine model compares favorably in terms of volatility distribution and …
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