Pricing options under stochastic volatility: a power series approach

DOI10.1007/s00780-008-0086-4zbMath1199.91200OpenAlexW1964489504MaRDI QIDQ964675

Sergio Scarlatti, Fabio Antonelli

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0086-4

zbMATH Keywords

optionsstochastic volatilitystochastic differential equationspartial differential equationsDuhamel's principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (18)

Asymptotic expansion formula of option price under multifactor Heston model ⋮ Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ ANALYTIC PRICING OF CoCo BONDS ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Expansions asymptotiques pour équations paraboliques dégénérées ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS ⋮ Smart expansion and fast calibration for jump diffusions ⋮ Exchange option pricing under stochastic volatility: a correlation expansion ⋮ A decomposition formula for option prices in the Heston model and applications to option pricing approximation ⋮ EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS ⋮ Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model ⋮ Approximate value adjustments for European claims ⋮ Risk adjustments of option prices under time-changed dynamics

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