General approximation schemes for option prices in stochastic volatility models

DOI10.1080/14697688.2010.488244zbMath1279.91162OpenAlexW2019919646MaRDI QIDQ2869978

Karl Larsson

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.488244

zbMATH Keywords

stochastic volatilityoption pricingstochastic applications

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• A generalization of the Hull and White formula with applications to option pricing approximation
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Spectral GMM estimation of continuous-time processes
• An introduction to analysis on Wiener space
• Applications of Malliavin calculus to Monte Carlo methods in finance
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Time Dependent Heston Model
• Local Vega Index and Variance Reduction Methods
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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