OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

DOI10.1111/J.1467-9965.1996.TB00117.XMaRDI QIDQ4226865zbMATH OpenOpenAlexFDO

Authors Eric Renault, Nizar Touzi

Publication date 5 July 1999

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1996.tb00117.x

zbMATH Keywords

estimationfilteringstochastic volatilityhedgingBlack and Scholes implied volatility

Mathematics Subject Classification ID

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

Recommendations

• Implied integrated variance and hedging
• Stochastic volatility, smile & asymptotics
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Stochastic implied volatility. A factor-based model.
• Computing the implied volatility in stochastic volatility models

Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• ARCH models as diffusion approximations
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extensions of estimation methods using the EM algorithm
• Large Sample Properties of Generalized Method of Moments Estimators
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Multivariate Stochastic Variance Models
• Regression Theory for Near-Integrated Time Series
• Simulated Moments Estimation of Markov Models of Asset Prices
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The problem of identification in finite parameter continuous time models

Cited in

(82)

• A simple model for option pricing with jumping stochastic volatility
• Extreme-strike asymptotics for general Gaussian stochastic volatility models
• Stochastic implied volatility. A factor-based model.
• Estimation of affine asset pricing models using the empirical characteristic function
• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
• Bayesian analysis of contingent claim model error
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• A generic decomposition formula for pricing vanilla options under stochastic volatility models
• Hedging options in the incomplete market with stochastic volatility
• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Stochastic volatility, smile & asymptotics
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• Inference for volatility-type objects and implications for hedging
• Local parametric analysis of hedging in discrete time
• A multivariate stochastic unit root model with an application to derivative pricing
• A generalization of the Hull and White formula with applications to option pricing approximation
• Downside risk measurement in regime switching stochastic volatility
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Pricing of defaultable bonds with random information flow
• The cross-section of average delta-hedge option returns under stochastic volatility
• Shapes of implied volatility with positive mass at zero
• The asymptotic smile of a multiscaling stochastic volatility model
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Integer-valued Lévy processes and low latency financial econometrics
• On implied volatility for options -- some reasons to smile and more to correct
• BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• An option pricing formula for the GARCH diffusion model
• An empirical comparison of two stochastic volatility models using Indian market data
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Black-Scholes representation for Asian options
• Dynamics of implied volatility surfaces
• Affine fractional stochastic volatility models
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing
• Optimal robust mean-variance hedging in incomplete financial markets
• Efficient two-step estimation via targeting
• The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model
• Implied Volatility of interest rate options: an empirical investigation of the market model
• The leverage effect puzzle revisited: identification in discrete time
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• The dynamics of stochastic volatility: evidence from underlying and options markets
• scientific article; zbMATH DE number 5227619 (Why is no real title available?)
• Understanding the implied volatility surface for options on a diversified index
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Risk adjustments of option prices under time-changed dynamics
• Symmetric martingales and symmetric smiles
• Calibration of stochastic volatility models: a Tikhonov regularization approach
• Option price decomposition in spot-dependent volatility models and some applications
• Implied and realized volatility: empirical model selection
• Implied filtering densities on the hidden state of stochastic volatility
• On the curvature of the smile in stochastic volatility models
• Conservative delta hedging.
• Optimal hedging under fast-varying stochastic volatility
• Delta-hedging in fractional volatility models
• Trading volume in models of financial derivatives
• Pricing options under stochastic volatility: a power series approach
• Put-call symmetry: extensions and applications
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic \(\lambda\)-SABR model
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• On smile properties of volatility derivatives: understanding the VIX skew
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• Asymptotic analysis for stochastic volatility: martingale expansion
• scientific article; zbMATH DE number 5504674 (Why is no real title available?)
• Implied integrated variance and hedging
• Option pricing in sandwiched Volterra volatility model
• American Option Valuation with Particle Filters
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• Valuing of timer path-dependent options
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
• Generalized arbitrage-free SVI volatility surfaces
• Asian options on the harmonic average
• On Estimation of Volatility Surface and Prediction of Future Spot Volatility
• The term structure of implied volatility in symmetric models with applications to Heston
• W-shaped implied volatility curves and the Gaussian mixture model
• Pricing of index options under a minimal market model with log-normal scaling
• Interest Rates Term Structure Models Driven by Hawkes Processes

This page was built for publication: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226865)