ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS

DOI10.1111/j.1467-9965.2012.00521.xzbMath1278.91111OpenAlexW1592561576MaRDI QIDQ4906524

R. N. Makarov, Giuseppe Campolieti

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00521.x

zbMATH Keywords

Bessel processoption pricingOrnstein-Uhlenbeck processimplied volatility smileCEV modelCIR processfirst exit timeJacobi processnonlinear volatility diffusionssolvable hypergeometric diffusions

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models ⋮ A class of solvable multiple entry problems with forced exits ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ Density of generalized Verhulst process and Bessel process with constant drift ⋮ Some results on optimal stopping under phase-type distributed implementation delay ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS ⋮ GENERALIZED RAYLEIGH AND JACOBI PROCESSES AND EXCEPTIONAL ORTHOGONAL POLYNOMIALS

Cites Work

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• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• Path integral pricing of Asian options on state-dependent volatility models
• Complete Models with Stochastic Volatility
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

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