Log-normal stochastic volatility model with quadratic drift

DOI10.1142/S0219024924500031MaRDI QIDQ6492032zbMATH OpenWikidataFDO

Authors Artur Sepp, Parviz Rakhmonov

Publication date 24 April 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/S0219024924500031

zbMATH Keywords

closed-form solutioncryptocurrency derivativeslog-normal stochastic volatilitymoment generating functionnonaffine modelsquadratic variance

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
• Revisiting linear and lognormal stochastic volatility models
• Pricing options on variance in affine stochastic volatility models
• A market model for stochastic implied volatility
• Option pricing for stochastic volatility models: vol-of-vol expansion

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A survey of quadratic systems
• Affine processes and applications in finance
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Bounded quadratic systems in the plane
• Change of time and change of measure
• Complications with stochastic volatility models
• Correlations and bounds for stochastic volatility models
• Exponential moments of affine processes
• Exponentiation of conditional expectations under stochastic volatility
• First order strong approximations of scalar SDEs defined in a domain
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• Martingales versus PDEs in finance: an equivalence result with examples
• Mathematical methods for foreign exchange. A financial engineer's approach
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• On stochastic equations with respect to semimartingales I.^†
• Option pricing in multivariate stochastic volatility models of OU type
• Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
• Option pricing with orthogonal polynomial expansions
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• Polynomial diffusions and applications in finance
• Polynomial processes and their applications to mathematical finance
• Semi‐efficient valuations and put‐call parity
• Statistical properties of the generalized inverse Gaussian distribution
• Stochastic processes. Translated from the Russian
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• The martingale property in the context of stochastic differential equations
• The meaning of market efficiency
• The pricing of options and corporate liabilities
• The Valuation of Volatility Options
• Volatility is (mostly) path-dependent
• Volatility is rough

Cited in

(3)

• Valuation and hedging of cryptocurrency inverse options
• Stochastic volatility for factor Heath-Jarrow-Morton framework
• Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework

This page was built for publication: Log-normal stochastic volatility model with quadratic drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6492032)