The α-hypergeometric stochastic volatility model

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aut.researcherDa Fonseca, Jose Carlos
dc.contributor.authorDa Fonseca, JC
dc.contributor.authorMartini, C
dc.date.accessioned2015-03-06T00:05:30Z
dc.date.available2015-03-06T00:05:30Z
dc.date.copyright2014
dc.date.issued2014
dc.description.abstractThe 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 specifi cation for the dynamics of the stock and its volatility. Within this framework we develop all the key elements to perform the pricing of vanilla European options as well as of volatility derivatives. We clarify the conditions under which the stock price is a martingale and illustrate how the model can be implemented.
dc.identifier.citationNew Zealand Econometric Study Group held at Hamilton, New Zealand, University of Waikato, 2014-02-20 to 2014-02-21
dc.identifier.urihttps://hdl.handle.net/10292/8455
dc.publisherThe New Zealand Econometrics Study Group (NZESG)
dc.relation.urihttp://cms.mngt.waikato.ac.nz/nzesg/home.aspx
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation). The original publication is available at (see Publisher's Version).
dc.rights.accessrightsOpenAccess
dc.subjectEquity stochastic volatility Models
dc.subjectVolatility derivatives
dc.subjectEuropean option pricing
dc.titleThe α-hypergeometric stochastic volatility model
dc.typeConference Contribution
pubs.elements-id168367
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business & Law
pubs.organisational-data/AUT/Business & Law/Finance
pubs.organisational-data/AUT/Business & Law/Finance/Finance PBRF 2012
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