The mean-reverting 4/2 stochastic volatility model: properties and financial applications

DOI10.1002/ASMB.2534MaRDI QIDQ6578150zbMATH OpenFDO

Authors Marcos Escobar Anel, Zhenxian Gong

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2534

zbMATH Keywords

commoditiesmean-revertingmethod of momentsoption pricingstochastic volatilityvolatility indexes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
• The Valuation of Volatility Options

Cited in

(3)

• Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
• European option pricing under the log mean-reverting jump diffusion stochastic volatility model
• Valuation of American put options under a modified 4/2 stochastic volatility model

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