A generic decomposition formula for pricing vanilla options under stochastic volatility models

DOI10.1155/2015/103647zbMath1337.60155arXiv1503.08119WikidataQ59111170 ScholiaQ59111170MaRDI QIDQ274843

Raúl Merino, Josep Vives

Publication date: 25 April 2016

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08119

zbMATH Keywords

functional Itô calculus; Malliavin derivative; decomposition formula; stochastic volatility diffusion model; vanilla options

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

91G80: Financial applications of other theories

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

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DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS, DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS, Approximate option pricing under a two-factor Heston-Kou stochastic volatility model, Option price decomposition in spot-dependent volatility models and some applications

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