Option pricing under hybrid stochastic and local volatility

DOI10.1080/14697688.2013.780209zbMath1281.91155OpenAlexW2037701228MaRDI QIDQ5397448

Jean-Pierre Fouque, Sun-Yong Choi, Jeong-Hoon Kim

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.780209

zbMATH Keywords

stochastic volatilityerror estimateconstant elasticity of varianceoption pricing modelasymptotic option pricingCEV formula

Mathematics Subject Classification ID

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

Related Items

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Investment timing under hybrid stochastic and local volatility ⋮ How should a local regime-switching model be calibrated? ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Monte Carlo calibration to implied volatility surface under volatility models ⋮ Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ Valuation of barrier and lookback options under hybrid CEV and stochastic volatility ⋮ A stochastic-local volatility model with Lévy jumps for pricing derivatives ⋮ Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods ⋮ Unnamed Item ⋮ Turbo warrants under hybrid stochastic and local volatility ⋮ Pricing variance swaps under hybrid CEV and stochastic volatility ⋮ The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model ⋮ Pricing turbo warrants under stochastic elasticity of variance ⋮ Unnamed Item ⋮ Fractional stochastic volatility correction to CEV implied volatility ⋮ Portfolio optimization for pension plans under hybrid stochastic and local volatility.

Cites Work

• The Pricing of Options and Corporate Liabilities
• Large-time asymptotics for an uncorrelated stochastic volatility model
• Lookback options and diffusion hitting times: a spectral expansion approach
• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• Moment explosions in stochastic volatility models
• Asymptotic theory of noncentered mixing stochastic differential equations
• Two singular diffusion problems
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Frequency Content of Randomly Scattered Signals
• Singular Perturbations in Option Pricing
• On Stochastic Processes Defined by Differential Equations with a Small Parameter