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

DOI10.1007/S007800050027zbMATH Open0888.90021OpenAlexW2056941613MaRDI QIDQ1376239FDOQ1376239

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

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zbMATH Keywords

European optionsoption pricingdiffusion processbond optionschange-of-numeraire techniqueclosed-form pricesquadratic diffusion terms

Mathematics Subject Classification ID

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

Cited In (17)

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

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