IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY

DOI10.1142/S0219024901000870MaRDI QIDQ3523562zbMATH OpenFDO

Authors Roger Lee

Publication date 3 September 2008

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

Full work available at URL https://doi.org/10.1142/S0219024901000870

zbMATH Keywords

implied volatility, volatility risk premiumlocal volatilityskewsmilestochastic volatility

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Calibrating volatility surfaces via relative-entropy minimization
• Financial modeling in a fast mean-reverting stochastic volatility environment
• Martingales and arbitrage in multiperiod securities markets
• MEAN-REVERTING STOCHASTIC VOLATILITY
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Post-'87 crash fears in the S\&P 500 futures option market
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stochastic volatility, smile & asymptotics
• Stock price distributions with stochastic volatility: an analytic approach
• The inverse problem of option pricing
• The pricing of options and corporate liabilities

Cited in

(29)

• A bias in the volatility smile
• A perturbative approach for reconstructing diffusion coefficients
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
• Local volatility dynamic models
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Risk adjustments of option prices under time-changed dynamics
• Convex regularization of local volatility estimation
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• Forward implied volatility expansion in time-dependent local volatility models
• Put-call symmetry: extensions and applications
• A Risk-Neutral Stochastic Volatility Model
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Stochastic volatility, smile & asymptotics
• Implied Volatility from Local Volatility: A Path Integral Approach
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Delta-hedging vega risk?
• Asymptotics and calibration of local volatility models
• Stability of an implicit method to evaluate option prices under local volatility with jumps
• Implied and realized volatility: empirical model selection
• Asymptotic analysis for stochastic volatility: martingale expansion
• Volatility has to be rough
• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
• Model-free price hedge ratios for homogeneous claims on tradable assets
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• On the Skew and Curvature of the Implied and Local Volatilities
• Delta hedging bitcoin options with a smile
• Local volatility under rough volatility
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets

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