IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY

DOI10.1142/S0219024901000870zbMath1153.91536MaRDI QIDQ3523562

Roger W. Lee

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

smilestochastic volatilitylocal volatilityskewimplied volatility, volatility risk premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Financial modeling in a fast mean-reverting stochastic volatility environment
• Martingales and arbitrage in multiperiod securities markets
• Post-'87 crash fears in the S\&P 500 futures option market
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• The inverse problem of option pricing
• Calibrating volatility surfaces via relative-entropy minimization
• Stochastic volatility, smile & asymptotics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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