Option price decomposition in spot-dependent volatility models and some applications
type: Item
instance of: scholarly article
title: Option price decomposition in spot-dependent volatility models and some applications
zbMATH Open document ID: 1417.91512
DOI: 10.1155/2017/8019498
author: Raúl Merino
author: Josep Vives
published in: International Journal of Stochastic Analysis
publication date: 2018-10-15T00:00:00Z
review text: Summary: We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6954192
zbMATH Keywords: option price decomposition
zbMATH Keywords: local volatility model
zbMATH Keywords: CEV model
Wikidata QID: Q59145086
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/8019498
OpenAlex ID: W2740845096
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description: scientific article; zbMATH DE number 6954192