THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
提出了一个包含Heston和3/2模型作为特例的新随机波动率模型，该模型瞬时波动率有正下界且易于计算，并给出了精确模拟方案，有助于期权定价和数值应用。
Abstract We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be uniformly bounded away from zero, and second, our model is mathematically and computationally tractable, thereby enabling an efficient pricing procedure. This called for using the Lie symmetries theory for partial differential equations; doing so allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation scheme for the model, which is useful for numerical applications.