A closed-form approximation formula for pricing European options under a three-factor model

DOI10.1017/S0269964821000322zbMath1503.91123OpenAlexW3196284205MaRDI QIDQ5051203

Jeong-Hoon Kim, Hye-Mee Kil

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964821000322

zbMATH Keywords

calibrationimplied volatilityEuropean optiondouble-mean-reverting model

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• A scaled version of the double-mean-reverting model for VIX derivatives
• Fast Ninomiya–Victoir calibration of the double-mean-reverting model
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.

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