A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility
A new option pricing model with stochastic volatility is introduced, outperforming existing models and providing realistic risk premiums and pricing kernels.
Featured in No. 23 on 25 Oct 2023 · 6 days after release · 1 citation today
- Released
- 19 Oct 2023
- First featured
- No. 23 · 25 Oct 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4607397
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