A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time
Type
conference speech
Date Issued
2024-06-07
Author(s)
Abstract
This paper introduce the ARGSV-MXN model that is structure-preserving under the risk-neutral measure if combined with exponential affine stochastic discount factor.
Language
English
HSG Classification
not classified
Pages
44
Event Title
QFFE 2024 - Quantitative Finance and Financial Econometrics Spring School and International Conference
Event Location
Marseille
Event Date
4.-7. Juni 2024
Subject(s)
Division(s)
Contact Email Address
matthias.fengler@unisg.ch