Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
with specifying joint dynamics for SPX index and its instantaneous stochastic volatility then derives expression for spot …-reverting logarithmic model (MRLR), no work has been done in considering stochastic volatility in MRLR to capture the positive implied …. Then I extend this basic MRLR model by adding jump or stochastic volatility into spot VIX dynamics to get MRLRJ and MRLRSV …