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, classical SVM adopt a CEV process for instantaneous variance where the CEV parameter γ takes just few values: 0—the Ornstein–Uhlenbeck process, 1/2—the Heston (or square...
