Why Are Quadratic Normal Volatility Models Analytically Tractable?

DOI10.1137/120871973zbMath1312.91086arXiv1202.6187OpenAlexW2085437256MaRDI QIDQ2873123

Travis C. Fisher, Johannes Ruf, Peter Carr

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.6187

zbMATH Keywords

Riccati equationpricingforeign exchangelocal martingalehyperinflationlocal volatilitychange of numérairesemistatic hedging

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial science and mathematical finance (91G99)

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