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arXiv · 1809.08635

Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution

Alan L. Lewis
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Abstract

We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model combining exact solutions, GBM-type volatility noise, and a stationary volatility density.

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Alan L. Lewis. 2018-09-23. Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution. https://doi.org/10.1002/wilm.10761

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