Pricing European Options Under Stochastic Volatilities Models

DOI10.1007/978-3-319-42082-0_18zbMath1356.91087OpenAlexW2550389277MaRDI QIDQ2960559

Anatoliy Malyarenko, Betuel Canhanga, Sergei D. Silvestrov, Jean-Paul Murara

Publication date: 17 February 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42082-0_18

zbMATH Keywords

asymptotic expansionoption pricingfinancial marketsstochastic volatilities

Mathematics Subject Classification ID

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

Cites Work

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• The Valuation of American Options for a Class of Diffusion Processes
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

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