On properties of analytically solvable families of local volatility diffusion models

DOI10.1111/J.1467-9965.2012.00521.XMaRDI QIDQ4906524zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingOrnstein-Uhlenbeck processCEV modelCIR processfirst exit timeBessel processJacobi processimplied volatility smilenonlinear volatility diffusionssolvable hypergeometric diffusions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3287297 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Complete Models with Stochastic Volatility
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Local martingales, bubbles and option prices
• Lookback options and diffusion hitting times: a spectral expansion approach
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• Path integral pricing of Asian options on state-dependent volatility models
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

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

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