Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion
DOI10.1137/110848682zbMath1308.91170OpenAlexW2154399880MaRDI QIDQ2940778
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
Fourier transformexpansionstochastic volatilityimplied volatilityEuropean optionsvolatility of volatilitylog-normal model
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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