The pricing of derivatives on assets with quadratic volatility

DOI10.1080/13504860210127271zbMath1067.91018OpenAlexW3121312342MaRDI QIDQ4551199

Christian Zühlsdorff

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504860210127271

zbMATH Keywords

stochastic differential equationoption pricingstrong solutionsimplied volatilityquadratic volatilityfrownssmiles

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Option pricing under model involving slow growth volatility ⋮ Option pricing with Weyl–Titchmarsh theory ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Option pricing with quadratic volatility: a revisit ⋮ Sparse wavelet representation of differential operators with piecewise polynomial coefficients ⋮ New analytical option pricing models with Weyl–Titchmarsh theory

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