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Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
Miko{\l}aj {\L}ab\k{e}dzki
https://arxiv.org/abs/2507.11868

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
This dissertation develops and justifies a novel method for deriving approximate formulas to estimate two parameters in stochastic volatility diffusion models with exponentially-affine characteristic functions and single- or two-factor variance. These formulas aim to improve the accuracy of option pricing and enhance the calibration process by providing reliable initial values for local minimization algorithms. The parameters relate to the volatility of the stochastic factor in instantaneous va…