Sorry, not a very quantitative question, but does anybody know who was the first person to write down and publish the 3/2 stochastic volatility model? I need this for a reference/bibliography.
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2$\begingroup$ Lewis (2000, Option Valuation under Stochastic Volatility) claims authorship for the 3/2 model on page 54 pointing out that Heston (1997) derived the model independendly. $\endgroup$ – KeSchn Jul 17 at 7:34
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1$\begingroup$ I have just looed some other papers which refer to Heston (1997) and Platen (1997, A Non-Linear Stochastic Volatility Model) as original source. $\endgroup$ – KeSchn Jul 17 at 7:40
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$\begingroup$ Thanks! yes I think Heston and Platen indeed. $\endgroup$ – ilovevolatility Jul 17 at 7:46
