A Note on Solvable Time-Homogeneous Stochastic Volatility Models (Working Paper)
10 Pages Posted: 1 Apr 2020 Last revised: 15 May 2020
Date Written: May 12, 2020
We revisit well-known stochastic volatility models with constant coefficients for single asset driven by one factor stochastic volatility as homogeneous diffusion and demonstrate an alternative to the classifications provided in Albanese and Lawi, and Henry-Labord`ere, to deduce asset price distribution function, at a fixed time, in an analytic form.
Keywords: Option pricing, Derivative pricing, Stochastic volatility, Heston model, 3/2 model, Closed-form price
JEL Classification: C02, C65, G12, G13
Suggested Citation: Suggested Citation