General approximation schemes for option prices in stochastic volatility models
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Publication:2869978
DOI10.1080/14697688.2010.488244zbMATH Open1279.91162OpenAlexW2019919646MaRDI QIDQ2869978FDOQ2869978
Authors: Karl Larsson 
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.488244
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)
Cites Work
- Spectral GMM estimation of continuous-time processes
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Title not available (Why is that?)
- The dynamics of stochastic volatility: evidence from underlying and options markets
- A generalization of the Hull and White formula with applications to option pricing approximation
- Time dependent Heston model
- An introduction to analysis on Wiener space
- MODERN LOGARITHMS FOR THE HESTON MODEL
- Local Vega Index and Variance Reduction Methods
Cited In (17)
- A general closed form option pricing formula
- AN ASYMPTOTIC VALUATION FOR THE OPTION UNDER A GENERAL STOCHASTIC VOLATILITY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Exact and approximate solutions for options with time-dependent stochastic volatility
- Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models
- Option pricing for stochastic volatility models: vol-of-vol expansion
- Title not available (Why is that?)
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation
- Asymptotic analysis for stochastic volatility: Edgeworth expansion
- Option prices under stochastic volatility
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- Saddlepoint approximations to option price in a general equilibrium model
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
- Approximate-analytical solution to the information measure's based quanto option pricing model
- From characteristic functions to implied volatility expansions
- A new analytical approximation for European puts with stochastic volatility
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
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