Itkin, Andrey - In: Review of Derivatives Research 16 (2013) 2, pp. 111-134
In this paper we discuss a new approach to extend a class of solvable stochastic volatility models (SVM). Usually …/CRC Financial Mathematics Series, London, <CitationRef CitationID="CR13">2009</CitationRef>) by making connection between stochastic … volatility and solvable diffusion processes in quantum mechanics. In particular, he used to build a bridge between solvable …