A Stochastically Correlated Bivariate Square-Root Model

A Stochastically Correlated Bivariate Square-Root Model

We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions recover ve...

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Bibliographic Details
Main Authors: Allan Jonathan da Silva, Jack Baczynski, José Valentim Machado Vicente
Format: Article
Language:English
Published: MDPI AG 2024-03-01
Series:International Journal of Financial Studies
Subjects:
stochastic correlation
CIR model
conditional characteristic functions
stochastic differential equation
financial modeling
option pricing
Online Access:https://www.mdpi.com/2227-7072/12/2/31

Internet

https://www.mdpi.com/2227-7072/12/2/31

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