TARGET VOLATILITY OPTION PRICING

DOI10.1142/S0219024911006474zbMath1236.91130MaRDI QIDQ5389102

Lorenzo Torricelli, Giuseppe Di-Graziano

Publication date: 24 April 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Taylor expansionrobust hedgingquadratic variationvolatility derivativestarget volatilityblack and Scholes

Mathematics Subject Classification ID

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

Related Items (10)

Catastrophe equity put options with target variance ⋮ Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ Volatility Targeting Using Delayed Diffusions ⋮ Variance-optimal hedging for target volatility options ⋮ Pricing vulnerable fader options under stochastic volatility models ⋮ On Carr and Lee’s Correlation Immunization Strategy ⋮ Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing ⋮ PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS ⋮ Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models ⋮ Target volatility option pricing in the lognormal fractional SABR model

Cites Work

• Valuation of volatility derivatives as an inverse problem
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Ergodic Property of the Brownian Motion Process

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