Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

DOI10.1016/j.orl.2015.09.006zbMath1408.91210OpenAlexW1749921976MaRDI QIDQ1785445

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.09.006

zbMATH Keywords

option pricingtarget volatility optioncorridor variance swapdouble digital callWishart stochastic volatility models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

A new class of multidimensional Wishart-based hybrid models ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Pricing via recursive quantization in stochastic volatility models ⋮ Detecting stock market regimes from option prices ⋮ Volatility Targeting Using Delayed Diffusions ⋮ CBI-time-changed Lévy processes ⋮ Small-Time smile for the multifactor volatility heston model ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ Regime switching affine processes with applications to finance ⋮ Target volatility option pricing in the lognormal fractional SABR model ⋮ Application of power series approximation techniques to valuation of European style options

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• TARGET VOLATILITY OPTION PRICING

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