Stochastic volatility, smile & asymptotics

DOI10.1080/135048699334573zbMath1009.91032OpenAlexW2079605156MaRDI QIDQ4541571

K. Ronnie Sircar, George S. Papanicolaou

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048699334573

zbMATH Keywords

stock pricesmile effectvolatility riskBlack-Scholes type priceoptions on stocks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (19)

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Market calibration under a long memory stochastic volatility model ⋮ Optimal investment with correlated stochastic volatility factors ⋮ IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE ⋮ A semi-analytic pricing formula for lookback options under a general stochastic volatility model ⋮ Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ Optimal robust mean-variance hedging in incomplete financial markets ⋮ Portfolio optimization under the stochastic elasticity of variance ⋮ An asymptotic expansion for a Black--Scholes type model ⋮ Dynamic consumption and asset allocation with derivative securities ⋮ PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT ⋮ Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility ⋮ Option pricing in the presence of random arbitrage return ⋮ Resonance phenomena in option pricing with arbitrage ⋮ A perturbative approach for reconstructing diffusion coefficients ⋮ An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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