A generic decomposition formula for pricing vanilla options under stochastic volatility models

DOI10.1155/2015/103647zbMath1337.60155arXiv1503.08119OpenAlexW1578126880WikidataQ59111170 ScholiaQ59111170MaRDI QIDQ274843

Raúl Merino, Josep Vives

Publication date: 25 April 2016

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

Full work available at URL: https://arxiv.org/abs/1503.08119

zbMATH Keywords

functional Itô calculusMalliavin derivativedecomposition formulastochastic volatility diffusion modelvanilla options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Approximate option pricing under a two-factor Heston-Kou stochastic volatility model ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ Option price decomposition in spot-dependent volatility models and some applications ⋮ DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS

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