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ArticleThe Jacobi stochastic volatility model

Damien Ackerer2018

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Articlegreen2018

The Jacobi stochastic volatility model

Damien Ackerer · Damir Filipović · Sergio Pulido

15 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 1999Option valuation using the fast Fourier transform 1998Brownian Motion and Stochastic Calculus 2003Affine processes and applications in finance 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1971On the uniqueness of solutions of stochastic differential equations

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2021Infinite-dimensional polynomial processes

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Year2018

Typearticle

Published2018-05-18

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW2906167405

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