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APPML
2016
3 years 25 days ago
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with cor...
Nicolas Privault, Qihao She
APPML
2016
3 years 25 days ago
Stationary solutions of the Vlasov-Fokker-Planck equation: Existence, characterization and phase-transition
In this paper, we study the set of stationary solutions of the Vlasov-FokkerPlanck (VFP) equation. This equation describes the time evolution of the probability distribution of a ...
M. H. Duong, J. Tugaut
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