Option pricing with quadratic volatility: a revisit

DOI10.1007/s00780-010-0142-8zbMath1303.91165OpenAlexW3123371492MaRDI QIDQ483708

Leif B. G. Andersen

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0142-8

zbMATH Keywords

method of imagesFourier seriesstrict local martingalehitting time densitiesput and call option pricingquadratic volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Explicit density approximations for local volatility models using heat kernel expansions ⋮ Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model ⋮ Lie symmetry methods for local volatility models ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ Hermite polynomial based expansion of European option prices ⋮ On the hedging of options on exploding exchange rates ⋮ Implied Volatility in Strict Local Martingale Models ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS ⋮ Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results ⋮ Fragility of arbitrage and bubbles in local martingale diffusion models ⋮ Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Valuing foreign exchange rate derivatives with a bounded exchange process
• Call option prices based on Bessel processes
• A general version of the fundamental theorem of asset pricing
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• Local martingales, bubbles and option prices
• Computation of the Complex Error Function
• Complications with stochastic volatility models
• Volatility skews and extensions of the Libor market model
• The pricing of derivatives on assets with quadratic volatility
• Class 𝐷 supermartingales

This page was built for publication: Option pricing with quadratic volatility: a revisit