Analytical formulas for a local volatility model with stochastic rates

DOI10.1080/14697688.2010.523011MaRDI QIDQ2893202zbMATH OpenOpenAlexFDO

Authors Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Publication date 26 June 2012

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.523011

zbMATH Keywords

option pricinginterest ratesstochastic analysiscomputational financemulti-factor modelsmathematics of financeequity options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Changes of numéraire, changes of probability measure and option pricing
• Expansion formulas for European options in a local volatility model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Smart expansion and fast calibration for jump diffusions
• Stochastic Volatility Model with Time‐dependent Skew
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Time dependent Heston model

Cited in

(19)

• Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
• Explicit implied volatilities for multifactor local-stochastic volatility models
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
• Analytical approximations of local-Heston volatility model and error analysis
• New approximations in local volatility models
• Local volatility for quanto option prices with stochastic interest rates
• A new analytical approximation for European puts with stochastic volatility
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
• Expansion formulas for European quanto options in a local volatility FX-LIBOR model
• A stochastic local volatility technique for TARN options
• Weak approximation of averaged diffusion processes
• An explicitly solvable Heston model with stochastic interest rate
• Local stochastic volatility with jumps: analytical approximations
• A novel Monte Carlo approach to hybrid local volatility models
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula

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