Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility
models
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility
models
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models motivated by the SPX-VIX joint calibration problem. We show the connection between the joint Fourier-Laplace functional of the log-price and the …