Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility

DOI10.1080/17442508.2021.1993445zbMath1492.91420arXiv1812.07803OpenAlexW3209684334WikidataQ114098093 ScholiaQ114098093MaRDI QIDQ5094574

Nicolas Langrené, Kaustav Das

Publication date: 3 August 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.07803

zbMATH Keywords

stochastic volatilityGARCHclosed-form approximationclosed-form expansionHeston

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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