Analytical formulas for a local volatility model with stochastic rates

DOI10.1080/14697688.2010.523011zbMATH Open1247.91177OpenAlexW3123841515MaRDI QIDQ2893202FDOQ2893202

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

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zbMATH Keywords

option pricinginterest ratesstochastic analysiscomputational financemulti-factor modelsmathematics of financeequity options

Mathematics Subject Classification ID

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

Cites Work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Title not available (Why is that?)
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Interest rate models -- theory and practice. With smile, inflation and credit
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility Model with Time‐dependent Skew
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Time dependent Heston model
• Expansion formulas for European options in a local volatility model
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Smart expansion and fast calibration for jump diffusions

Cited In (19)

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

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