An infinite‐dimensional affine stochastic volatility model

DOI10.1111/mafi.12347zbMath1522.91270arXiv2108.02604OpenAlexW4220823975MaRDI QIDQ6054429

Sonja Cox, Sven Karbach, Asma Khedher

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02604

zbMATH Keywords

stochastic volatilityRiccati equationsforward price dynamicsHeath-Jarrow-Morton-Musiela frameworkinfinite-dimensional affine processesstate-dependent jump intensity

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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