Hyperbolic normal stochastic volatility model

Abstract

Motivated for alternative option pricing models and heavy-tailed distributions, this study proposes and analyzes a continuous-time stochastic volatility (SV) model based on arithmetic Brownian motion. The normal... [ view full abstract ]

Authors

  1. Jaehyuk Choi (Peking University HSBC Business School)
  2. Chenru Liu (Peking University HSBC Business School)
  3. Byoung Ki Seo (Ulsan National Institute of Science and Technology)

Topic Areas

Options , Simulation , Stochastic Volatility

Session

MO-A-B2 » Stochastic Volatility 1 (11:30 - Monday, 16th July, Beckett 2)

Presentation Files

The presenter has not uploaded any presentation files.