• The α-hypergeometric stochastic volatility model

      Da Fonseca, JC; Martini, C (The New Zealand Econometrics Study Group (NZESG), 2014)
      The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the a ffine models, we defi ne a new ...