Solvable local and stochastic volatility models: supersymmetric methods in option pricing
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Publication:5433098
DOI10.1080/14697680601103045zbMath1151.91514arXivcond-mat/0511028MaRDI QIDQ5433098
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0511028
Related Items (12)
The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes ⋮ Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry ⋮ Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ D-brane solutions under market panic ⋮ Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition ⋮ Generalized uncorrelated SABR models with a high degree of symmetry ⋮ On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values
Cites Work
- A Theory of the Term Structure of Interest Rates
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing Interest-Rate-Derivative Securities
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