Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

DOI10.1137/110848682zbMath1308.91170OpenAlexW2154399880MaRDI QIDQ2940778

Sidi Mohamed Ould Aly

Publication date: 20 January 2015

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

Full work available at URL: https://doi.org/10.1137/110848682

zbMATH Keywords

Fourier transformexpansionstochastic volatilityimplied volatilityEuropean optionsvolatility of volatilitylog-normal model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84)

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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL

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