arXiv q-fin· Eduardo Abi Jaber (Xiaoyuan), Shaun (Xiaoyuan), Li, Xuyang Lin·· 5 hr agoAI Score38
Fourier-Laplace Transform in Polynomial Ornstein-Uhlenbeck Volatility Models
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
AI summary
This study derives, for polynomial Ornstein-Uhlenbeck volatility models such as Stein-Stein, Schöbel-Zhu, one-factor Bergomi, and quintic OU models, the relationship between the joint Fourier-Laplace functional of log price and integrated variance and the solution of an infinite-dimensional Riccati system, and proves the existence of the corresponding Riccati equation.
Source:arXiv q-fin · arxiv.org