Analytical formulas for a local volatility model with stochastic rates

DOI10.1080/14697688.2010.523011zbMath1247.91177OpenAlexW3123841515MaRDI QIDQ2893202

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Publication date: 26 June 2012

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.523011

zbMATH Keywords

option pricinginterest ratesstochastic analysiscomputational financemulti-factor modelsmathematics of financeequity options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ A novel Monte Carlo approach to hybrid local volatility models ⋮ New Approximations in Local Volatility Models ⋮ Weak approximation of averaged diffusion processes ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION

Cites Work

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• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Interest rate models -- theory and practice. With smile, inflation and credit
• Smart expansion and fast calibration for jump diffusions
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Applications of Malliavin calculus to Monte Carlo methods in finance
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility Model with Time‐dependent Skew

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