Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution

Alan Lewis

Papers from arXiv.org

Abstract: We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model combining exact solutions, GBM-type volatility noise, and a stationary volatility density.

Date: 2018-09, Revised 2019-05
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Citations: View citations in EconPapers (4)

Published in Wilmott mag. 101 (2019) 20-41

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.08635

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