Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution
Computational Finance
2019-05-28 v2
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.
Keywords
Cite
@article{arxiv.1809.08635,
title = {Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution},
author = {Alan L. Lewis},
journal= {arXiv preprint arXiv:1809.08635},
year = {2019}
}
Comments
42 pages, 5 figures, one typo (eqn (66)) corrected