地点：学术活动室665
邀请人：米辉副教授
摘要：In this talk, an alternative form of the Heston model that preserves an essential advantage of the Heston model, its analytic tractability, is presented. The necessary and sufficient conditions are shown for the existence of a solution in affine form so that different forms of solution that display certain advantages in parameter determination can be explored. To demonstrate this, some empirical studies, exploring if this new form does have certain advantages over the original version under certain market conditions are discussed.