Generalized Mean-Reverting 4/2 Factor Model

Generalized Mean-Reverting 4/2 Factor Model

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for well-defined c...

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Bibliographic Details
Main Authors: Yuyang Cheng, Marcos Escobar-Anel, Zhenxian Gong
Format: Article
Language:English
Published: MDPI AG 2019-10-01
Series:Journal of Risk and Financial Management
Subjects:
stochastic covariance
4/2 model
option pricing
risk measures
Online Access:https://www.mdpi.com/1911-8074/12/4/159

Internet

https://www.mdpi.com/1911-8074/12/4/159

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