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
Polynomial models in finance
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