Option pricing in the presence of natural boundaries and a quadratic diffusion term

DOI10.1007/S007800050027MaRDI QIDQ1376239zbMATH OpenOpenAlexFDO

Authors Sven Rady

Publication date 11 December 1997

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050027

zbMATH Keywords

bond optionschange-of-numeraire techniqueclosed-form pricesdiffusion processEuropean optionsoption pricingquadratic diffusion terms

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(17)

• The waterline tree for separable local-volatility models
• Choquet-based European option pricing with stochastic (and fixed) strikes
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• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
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• Hermite polynomial based expansion of European option prices
• Option pricing with quadratic volatility: a revisit
• Pricing and hedging performance on pegged FX markets based on a regime switching model
• On model robustness of the regime switching approach for pegged foreign exchange markets
• Captive diffusions and their applications to order-preserving dynamics
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
• THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories

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