Stochastic local volatility models and the Wei-Norman factorization method

DOI10.3934/DCDSS.2022026zbMath1519.91261arXiv2201.11241OpenAlexW4212830579WikidataQ114022618 ScholiaQ114022618MaRDI QIDQ6105360

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Publication date: 26 June 2023

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.11241

zbMATH Keywords

Monte Carlo simulationsLie algebraic methodsstochastic local volatility modelWei-Norman

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• THE RANGE OF TRADED OPTION PRICES
• A General Valuation Framework for SABR and Stochastic Local Volatility Models
• Stochastic Volatility Models: Faking a Smile
• Semiclassical interpretation of Wei–Norman factorization for SU(1, 1) and its related integral transforms
• Lie Algebraic Solution of Linear Differential Equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials

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