Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574): Difference between revisions

Latest revision as of 19:16, 29 July 2024

scientific article; zbMATH DE number 7567421

Language	Label	Description	Also known as
English	Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility	scientific article; zbMATH DE number 7567421

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instance of

scholarly article

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title

Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (English)

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3 August 2022

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full work available at URL

https://arxiv.org/abs/1812.07803

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zbMATH Keywords

stochastic volatility

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closed-form expansion

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closed-form approximation

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Heston

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GARCH

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MaRDI profile type

Publication

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cites work

A generalization of the Hull and White formula with applications to option pricing approximation

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Exchange option pricing under stochastic volatility: a correlation expansion

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Pricing options under stochastic volatility: a power series approach

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Time Dependent Heston Model

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The Pricing of Options and Corporate Liabilities

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Riding on the smiles

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Closed-form convexity and cross-convexity adjustments for Heston prices

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Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Q3530675

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Fast strong approximation Monte Carlo schemes for stochastic volatility models

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A survey of numerical methods for stochastic differential equations

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SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL

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Correlations and bounds for stochastic volatility models

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EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

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ARCH models as diffusion approximations

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Contingent Claims and Market Completeness in a Stochastic Volatility Model

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Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

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THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

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On the uniqueness of solutions of stochastic differential equations

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Identifiers

zbMATH Open document ID

1492.91420

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DOI

10.1080/17442508.2021.1993445

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5094574

@@ Property / cites work @@
+A generalization of the Hull and White formula with applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+Exchange option pricing under stochastic volatility: a correlation expansion
+Normal rank
@@ Property / cites work @@
+Pricing options under stochastic volatility: a power series approach
+Normal rank
@@ Property / cites work @@
+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Riding on the smiles
@@ Property / cites work: Riding on the smiles / rank @@
+Normal rank
@@ Property / cites work @@
+Closed-form convexity and cross-convexity adjustments for Heston prices
+Normal rank
@@ Property / cites work @@
+Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+Fast strong approximation Monte Carlo schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+A survey of numerical methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL
+Normal rank
@@ Property / cites work @@
+Correlations and bounds for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Contingent Claims and Market Completeness in a Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ Property / cites work @@
+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank