Analytical formulas for a local volatility model with stochastic rates

DOI10.1080/14697688.2010.523011zbMath1247.91177MaRDI QIDQ2893202

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.523011

zbMATH Keywords

option pricing; interest rates; stochastic analysis; computational finance; multi-factor models; mathematics of finance; equity options

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model, A novel Monte Carlo approach to hybrid local volatility models, New Approximations in Local Volatility Models, EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL, EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION, EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, An explicitly solvable Heston model with stochastic interest rate, Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms, Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods, Weak approximation of averaged diffusion processes

Cites Work

• Unnamed Item
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Interest rate models -- theory and practice. With smile, inflation and credit
• Smart expansion and fast calibration for jump diffusions
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Applications of Malliavin calculus to Monte Carlo methods in finance
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility Model with Time‐dependent Skew