A fast calibrating volatility model for option pricing

DOI10.1016/j.ejor.2014.12.031zbMath1346.91230OpenAlexW2064243848MaRDI QIDQ319158

Paresh Date, Suren Islyaev

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/9691

zbMATH Keywords

option pricingstochastic volatility models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

An explicitly solvable Heston model with stochastic interest rate ⋮ Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options ⋮ Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ On calibration of stochastic and fractional stochastic volatility models ⋮ Pricing via recursive quantization in stochastic volatility models ⋮ Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? ⋮ The risk premium that never was: a fair value explanation of the volatility spread ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Option pricing with conditional GARCH models ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ American step options ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Numerical techniques for determining implied volatility in option pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Interest rate models -- theory and practice. With smile, inflation and credit
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: A fast calibrating volatility model for option pricing