Hyperbolic normal stochastic volatility model


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 ]


  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


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

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