Modified Stochastic Volatility Model for Derivative Pricing
The article suggests an improved 4/2 stochastic volatility model with a new formula for derivative prices, enhancing calibration speed and capturing market volatility.
Featured in No. 30 on 20 Dec 2023 · on release day
- Released
- 20 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007468
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