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- W253721128 abstract "We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be uniformly bounded away from zero, and second, our model is mathematically and computationally tractable, thereby enabling an efficient pricing procedure. This called for using the Lie symmetries theory for PDEs; doing so allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation scheme for the model; this is useful in view of the numerical applications." @default.
- W253721128 created "2016-06-24" @default.
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- W253721128 date "2014-01-01" @default.
- W253721128 modified "2023-09-27" @default.
- W253721128 title "The 4/2 Stochastic Volatility Model" @default.
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- W253721128 doi "https://doi.org/10.2139/ssrn.2523635" @default.
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