Option price decomposition in spot-dependent volatility models and some applications

DOI10.1155/2017/8019498zbMath1417.91512OpenAlexW2740845096WikidataQ59145086 ScholiaQ59145086MaRDI QIDQ1794087

Raúl Merino, Josep Vives

Publication date: 15 October 2018

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/8019498

zbMATH Keywords

CEV modellocal volatility modeloption price decomposition

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL ⋮ Approximate option pricing under a two-factor Heston-Kou stochastic volatility model ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS

Uses Software

• Matlab

Cites Work

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• A generic decomposition formula for pricing vanilla options under stochastic volatility models
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Singular Perturbations in Option Pricing
• Equivalent Black volatilities

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