A new approach for option pricing under stochastic volatility
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Publication:2425553
DOI10.1007/S11147-007-9014-6zbMATH Open1140.91353OpenAlexW2018934424MaRDI QIDQ2425553FDOQ2425553
Publication date: 6 May 2008
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-007-9014-6
Recommendations
- Market-based estimation of stochastic volatility models
- Stochastic volatility models with application in option pricing
- Pricing forward-start variance swaps with stochastic volatility
- A time-dependent variance model for pricing variance and volatility swaps
- Pricing variance swaps under stochastic volatility and stochastic interest rate
Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)
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Cited In (51)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- Robust long-term growth rate of expected utility for leveraged ETFs
- A new method of option pricing based on Black-Scholes model
- On the calibration of the 3/2 model
- Tractable hedging with additional hedge instruments
- A new stock model for option pricing in uncertain environment
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- New solvable stochastic volatility models for pricing volatility derivatives
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Volatility swaps and volatility options on discretely sampled realized variance
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Volatility smile as relativistic effect
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- An integral representation of elasticity and sensitivity for stochastic volatility models
- Exact and approximate solutions for options with time-dependent stochastic volatility
- Optimal Strategies for a Long-Term Static Investor
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
- Analysis of VIX Markets with a Time-Spread Portfolio
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Discretely sampled variance and volatility swaps versus their continuous approximations
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Option pricing under stochastic volatility models with latent volatility
- ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
- Pricing volatility derivatives under the modified constant elasticity of variance model
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Pricing VIX options in a 3/2 plus jumps model
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
- Parameter estimation in CKLS model by continuous observations
- Modeling Variance Risk Premium
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- EXACT SIMULATION OF THE 3/2 MODEL
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
- Explicit solution simulation method for the 3/2 model
- A general framework for time-changed Markov processes and applications
- Applying hedging strategies to estimate model risk and provision calculation
- A variational approach for pricing options and corporate bounds
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Local volatility of volatility for the VIX market
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