Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing-Reference-Cited by-同舟云学术

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Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing

Published:2023-12 Issue: Volume:58 Page:104374
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Cao Jiling^ORCID,Kim Jeong-Hoon^ORCID,Liu Wenqiang^ORCID,Zhang Wenjun^ORCID

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Finance

Reference21 articles.

1. Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model;Baldeaux;Appl. Math. Finance,2014

2. Fast Ninomiya-Victoir calibration of the double-mean-reverting model;Bayer;Quant. Finance,2013

3. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

4. Rough stochastic elasticity of variance and option pricing;Cao;Finance Res. Lett.,2020

5. The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well;Christoffersen;Manage. Sci.,2009

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A novel term-structure-based Heston model for implied volatility surface;International Journal of Computer Mathematics;2024-06-02

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