---
title: A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility
url: https://www.ml-quant.com/papers/ssrn/4607397/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4607397
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4607397
featured: 2023-10-25
citations: 1
topic: Derivatives & Volatility
---


# A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility

A new option pricing model with stochastic volatility is introduced, outperforming existing models and providing realistic risk premiums and pricing kernels.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4607397
- Identifier: SSRN 4607397
- Released: 2023-10-19
- First featured: Quant Letter No. 23 (2023-10-25): https://www.ml-quant.com/issues/2023-10-25/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Derivatives & Volatility

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