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

DOI10.1142/S021902491650031XzbMath1396.91745arXiv1507.02847OpenAlexW3102966423MaRDI QIDQ2816963

Zili Zhu, Nicolas Langrené, Geoffrey Lee

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.02847

zbMATH Keywords

stochastic volatilityoption pricinginverse gamma\(\log\)-normaldynamic SABRmean-reverting SABRvolatility expansion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility ⋮ The calibration of stochastic local-volatility models: an inverse problem perspective ⋮ Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods

Uses Software

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Cites Work

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• Approximating volatility diffusions with CEV-ARCH models
• An option pricing formula for the GARCH diffusion model
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
• Analysis, Geometry, and Modeling in Finance
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Theory of Financial Risk and Derivative Pricing

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