On properties of analytically solvable families of local volatility diffusion models
DOI10.1111/J.1467-9965.2012.00521.XzbMATH Open1278.91111OpenAlexW1592561576MaRDI QIDQ4906524FDOQ4906524
Authors: G. Campolieti, R. Makarov 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00521.x
Recommendations
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
- Solvable local and stochastic volatility models: supersymmetric methods in option pricing
- Transformations of Markov processes and classification scheme for solvable driftless diffusions
- Local volatility dynamic models
- The exact smile of certain local volatility models
option pricingOrnstein-Uhlenbeck processCEV modelCIR processfirst exit timeBessel processJacobi processimplied volatility smilenonlinear volatility diffusionssolvable hypergeometric diffusions
Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)
Cites Work
- A theory of the term structure of interest rates
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Title not available (Why is that?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Complete Models with Stochastic Volatility
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Local martingales, bubbles and option prices
- Title not available (Why is that?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Lookback options and diffusion hitting times: a spectral expansion approach
- Path integral pricing of Asian options on state-dependent volatility models
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
Cited In (9)
- Pricing step options under the CEV and other solvable diffusion models
- Solvable local and stochastic volatility models: supersymmetric methods in option pricing
- Generalized Rayleigh and Jacobi processes and exceptional orthogonal polynomials
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
- A class of solvable multiple entry problems with forced exits
- Time series analysis and calibration to option data: a study of various asset pricing models
- Some results on optimal stopping under phase-type distributed implementation delay
- Transformations of Markov processes and classification scheme for solvable driftless diffusions
- Density of generalized Verhulst process and Bessel process with constant drift
This page was built for publication: On properties of analytically solvable families of local volatility diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906524)
