A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting

DOI10.1080/14697688.2012.762458zbMath1395.91451OpenAlexW1983789212MaRDI QIDQ4683117

Yacin Jerbi

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.762458

zbMATH Keywords

stochastic volatilityderivatives pricingfinancial modellingquantitative financefinancial simulationimplied volatility modelsoptions volatilityderivative pricing models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options ⋮ Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options ⋮ Option prices and stock market momentum: evidence from China

Cites Work

• The Pricing of Options and Corporate Liabilities
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Dynamics of implied volatility surfaces
• 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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