2000 character limit reached
The Alpha-Heston Stochastic Volatility Model (1812.01914v1)
Published 5 Dec 2018 in q-fin.MF
Abstract: We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $\alpha$-stable processes with $\alpha\in(1,2]$. In this framework, we examine the implied volatility and its asymptotic behaviors for both asset and variance options. Furthermore, we examine the jump clustering phenomenon observed on the variance market and provide a jump cluster decomposition which allows to analyse the cluster processes.
Collections
Sign up for free to add this paper to one or more collections.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.