EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION

DOI10.1142/S0219024914500101zbMath1290.91163OpenAlexW2069179867MaRDI QIDQ4979883

Julien Hok, Emmanuel Gobet

Publication date: 19 June 2014

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

Full work available at URL: https://doi.org/10.1142/s0219024914500101

zbMATH Keywords

closed-form solutionsexpansion formulalocal volatility modelbest-of optionshybrid derivativesinflation derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Smart expansion and fast calibration for jump diffusions
• Weak approximation of averaged diffusion processes
• Asymptotic and non asymptotic approximations for option valuation
• Analytical formulas for a local volatility model with stochastic rates
• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• An Asymptotic Expansion with Push-Down of Malliavin Weights
• Pricing inflation-indexed derivatives