A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time

Simon Fabian Ernst FeistleMatthias Reginald FenglerAlexander V. Melnikov2024-08-142024-08-142024-06-07https://www.alexandria.unisg.ch/handle/20.500.14171/120618This paper introduce the ARGSV-MXN model that is structure-preserving under the risk-neutral measure if combined with exponential affine stochastic discount factor.enA non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete timeconference paper