Option prices under stochastic volatility
From MaRDI portal
Publication:1761552
Recommendations
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- General approximation schemes for option prices in stochastic volatility models
- scientific article; zbMATH DE number 2171415
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
Cited in
(30)- Pricing foreign equity option with stochastic volatility
- A new kernel-based classification algorithm for multi-label datasets
- Risk premium and fair option prices under stochastic volatility: the HARA solution.
- Option pricing, stochastic volatility, singular dynamics and constrained path integrals
- Option price when the stock is a semimartingale
- Computation of powered option prices under a general model for underlying asset dynamics
- Valuing options in shot noise market
- Identifying the volatility of underlying assets from option prices
- Bounds on European option prices under stochastic volatility
- Stability of approximate solution mappings for generalized Ky Fan inequality
- General approximation schemes for option prices in stochastic volatility models
- Pricing Options with Hybrid Stochastic Volatility Models
- Valuation of power options under Heston's stochastic volatility model
- Stochastic volatility models and Kelvin waves
- Pricing VIX options with stochastic volatility and random jumps
- Option price with stochastic volatility for both fast and slow mean-reverting regimes
- scientific article; zbMATH DE number 1222791 (Why is no real title available?)
- Option Pricing Under Incompleteness and Stochastic Volatility
- Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
- scientific article; zbMATH DE number 2171415 (Why is no real title available?)
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- Stochastic Volatility Models and Option Prices
- Stock price distributions with stochastic volatility: an analytic approach
- TARGET VOLATILITY OPTION PRICING
- EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
- scientific article; zbMATH DE number 5260301 (Why is no real title available?)
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- scientific article; zbMATH DE number 2221215 (Why is no real title available?)
- Valuing options in Heston's stochastic volatility model: another analytical approach
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
This page was built for publication: Option prices under stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1761552)
