3 citations · 5 across the 5 of their papers we have counts for
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q-fin.CP2018★ 3 cited
Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution
Alan L. Lewis
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 de…
q-fin.CP2018
A First Option Calibration of the GARCH Diffusion Model by a PDE Method
Yiannis A. Papadopoulos, Alan L. Lewis
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model,…