# The Jacobi stochastic volatility model

@article{Ackerer2018TheJS, title={The Jacobi stochastic volatility model}, author={Damien Ackerer and D. Filipovic and Sergio Pulido}, journal={Finance and Stochastics}, year={2018}, volume={22}, pages={667-700} }

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Charlier A expansion with closed-form coefficients. We derive closed-form series representations for option prices whose discounted payoffs are functions of the asset price trajectory at finitely many time points. This includes European call, put… Expand

#### 55 Citations

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