A chaos expansion approach under hybrid volatility models

DOI10.1080/14697688.2013.872283zbMath1402.91778OpenAlexW2022754748MaRDI QIDQ5247273

Hideharu Funahashi

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.872283

zbMATH Keywords

Black-Scholes modelHermite polynomialsuccessive substitutionWiener-Ito chaos expansionhybrid stochastic and local volatility modelsmile and skew

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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