v2 of Paper on Fourier-Laplace Transform for Polynomial OU Volatility Model Released
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Eduardo Abi Jaber, Shaun (Xiaoyuan) Li, and Xuyang Lin released revised version v2 of their research paper on Fourier-Laplace transforms for polynomial Ornstein-Uhlenbeck volatility models on arXiv. The study covers polynomial OU volatility models including Stein-Stein, Schöbel-Zhu, single-factor Bergomi, and quintic OU models, derives the relationship between the joint Fourier-Laplace functional of log price and cumulative variance and solutions to infinite-dimensional Riccati equation systems, and proves the existence of solutions to the corresponding Riccati equations.
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- arXiv q-finFourier-Laplace Transform in Polynomial Ornstein-Uhlenbeck Volatility Models
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.
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