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

Abstract

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

Lokvancic, Mahir, A Note on Solvable Time-Homogeneous Stochastic Volatility Models (Working Paper) (May 12, 2020). Available at SSRN: https://ssrn.com/abstract=3549565 or http://dx.doi.org/10.2139/ssrn.3549565

Mahir Lokvancic (Contact Author)

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

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