Pricing of simple and path-dependent European Options in the Jacobi Stochastic Volatility Model

Simone Götz
We discuss a stochastic volatility model in which the squared volatility is modeled as anaffine transformed Jacobi process. In this model, which contains the Heston model as limiting case, the log-price density as well as the density of the finite dimensional distributionsof the log-returns admit a closed-form series representation with respect to the generalizedHermite polynomials, known as Gram-Charlier series expansion. We use this to deriveseries representations for option prices and we find explicit formulas for...
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