For the anisotropic stable JCIR process, the heat kernel exists and obeys a weighted anisotropic Besov bound, the strong Feller property holds, and in the subcritical case convergence to the invariant measure is exponential in total variation.
The Alpha-Heston Stochastic Volatility Model
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abstract
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $\alpha$-stable processes with $\alpha\in(1,2]$. In this framework, we examine the implied volatility and its asymptotic behaviors for both asset and variance options. Furthermore, we examine the jump clustering phenomenon observed on the variance market and provide a jump cluster decomposition which allows to analyse the cluster processes.
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2019 1verdicts
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On the anisotropic stable JCIR process
For the anisotropic stable JCIR process, the heat kernel exists and obeys a weighted anisotropic Besov bound, the strong Feller property holds, and in the subcritical case convergence to the invariant measure is exponential in total variation.