General approximation schemes for option prices in stochastic volatility models
From MaRDI portal
Publication:2869978
Recommendations
- Option pricing for stochastic volatility models: vol-of-vol expansion
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- Option prices under stochastic volatility
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cites work
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A generalization of the Hull and White formula with applications to option pricing approximation
- An introduction to analysis on Wiener space
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Local Vega Index and Variance Reduction Methods
- MODERN LOGARITHMS FOR THE HESTON MODEL
- Spectral GMM estimation of continuous-time processes
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Time dependent Heston model
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
- scientific article; zbMATH DE number 6719162 (Why is no real title available?)
- Asymptotic analysis for stochastic volatility: Edgeworth expansion
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation
- 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
This page was built for publication: General approximation schemes for option prices in stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2869978)
