most citedSwitching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model

13 citations · 13 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.CP2015★ 13 cited

Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model

Nicolas Langrené, Geoffrey Lee, Zili Zhu

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=κ_{t}\left(θ_{t}-V_{t}\right)dt…