Spectral methods for volatility derivatives
From MaRDI portal
Publication:3182744
DOI10.1080/14697680902773603zbMath1188.91208arXiv0905.2091MaRDI QIDQ3182744
Harry Lo, Aleksandar Mijatović, Claudio Albanese
Publication date: 16 October 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0905.2091
volatility surfaces; volatility modeling; volatility smile fitting; stochastic volatility quantitative finance
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
Related Items
A backward Monte Carlo approach to exotic option pricing, Options on realized variance by transform methods: a non-affine stochastic volatility model, A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives', STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS, Swap rate variance swaps, KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS, VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS
Cites Work
- The Pricing of Options and Corporate Liabilities
- Consistent variance curve models
- An Algorithm for Computing Reducing Subspaces by Block Diagonalization
- Moment swaps
- Valuation of volatility derivatives as an inverse problem
- Numerical Considerations in Computing Invariant Subspaces
- On the pricing and hedging of volatility derivatives
- The Variance Gamma Process and Option Pricing