Analytically tractable stochastic stock price models.

DOI10.1007/978-3-642-31214-4zbMATH Open1264.91007OpenAlexW655100774MaRDI QIDQ434149FDOQ434149

Authors: Archil Gulisashvili 

Publication date: 10 July 2012

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-31214-4

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zbMATH Keywords

stochastic volatilitydistributions of stock price processesmixing distributionsstochastic financial models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Cited In (51)

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• Stochastic dynamic models with stock-dependent rewards
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• Asymptotic expansion for some local volatility models arising in finance
• Extreme-strike asymptotics for general Gaussian stochastic volatility models
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• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
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• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
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• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
• Option pricing under fast‐varying long‐memory stochastic volatility
• Performance of advanced stock price models when it becomes exotic: an empirical study
• Volatility in financial markets: Stochastic models and empirical results
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Methods of PC realization of the stochastic models of stock and bond values

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