The \(\alpha\)-hypergeometric stochastic volatility model

DOI10.1016/j.spa.2015.11.010zbMath1345.60061arXiv1409.5142OpenAlexW1516723521MaRDI QIDQ265650

Claude Martini, José Da Fonseca

Publication date: 4 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5142

zbMATH Keywords

\(\alpha\)-hypergeometric stochastic volatility modelEuropean option pricingvolatility derivatives

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Uses Software

• DLMF

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