INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS

DOI10.1142/S0219024917500558zbMath1395.91436OpenAlexW2779516117MaRDI QIDQ4602498

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Publication date: 11 January 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500558

zbMATH Keywords

stochastic volatilityimplied volatilityexact probability densitiestimer option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A general framework for time-changed Markov processes and applications ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

Uses Software

• Mathematica

Cites Work

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