Pricing of vulnerable options under hybrid stochastic and local volatility

DOI10.1016/J.CHAOS.2021.110846zbMATH Open1498.91448OpenAlexW3143045873MaRDI QIDQ2137228FDOQ2137228

Authors: Yanyan Li 

Publication date: 16 May 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110846

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zbMATH Keywords

Monte Carlo simulationasymptotic analysishybrid stochastic and local volatilityvulnerable option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Singular Perturbations in Option Pricing
• Title not available (Why is that?)
• Investment timing under hybrid stochastic and local volatility
• Option pricing under hybrid stochastic and local volatility
• Pricing vulnerable options under a stochastic volatility model
• MEAN-REVERTING STOCHASTIC VOLATILITY
• The pricing of vulnerable options with double Mellin transforms
• Title not available (Why is that?)
• Asymptotic option pricing under the CEV diffusion
• Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
• A fast mean-reverting correction to Heston's stochastic volatility model
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
• Pricing arithmetic Asian options under hybrid stochastic and local volatility
• Pricing variance swaps under hybrid CEV and stochastic volatility
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
• Pricing of fixed-strike lookback options on assets with default risk
• Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method

Cited In (17)

• Effect of institutional deleveraging on option valuation problems
• Turbo warrants under hybrid stochastic and local volatility
• Pricing vulnerable options with stochastic volatility
• Pricing vulnerable options under a stochastic volatility model
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• Pricing and hedging of cliquet options and locally capped contracts
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing Options with Hybrid Stochastic Volatility Models
• Valuing of timer path-dependent options
• The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Pricing vulnerable power option under a CEV diffusion
• The pricing of vulnerable power options with double Mellin transforms
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
• A delayed stochastic volatility correction to the constant elasticity of variance model

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