Analytics on conditional moment generating functions of stochastic volatility models
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DOI: 10.1080/14697688.2025.2587079
Abstract: Moment generating functions (MGFs) of the terminal log-asset price and integrated variance of stochastic volatility models conditional on the terminal variance value are required in exact simulation algorithms and Fourier based algorithms for pricing European… read more here.
Keywords: stochastic volatility; conditional mgfs; volatility; finance ... See more keywords