Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation

DOI10.1142/S0219024914500101MaRDI QIDQ4979883zbMATH OpenOpenAlexFDO

Authors Emmanuel Gobet, Julien Hok

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

expansion formulaclosed-form solutionslocal volatility modelbest-of optionshybrid derivativesinflation derivatives

Mathematics Subject Classification ID

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

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Cites work

• An asymptotic expansion with push-down of Malliavin weights
• Analytical formulas for a local volatility model with stochastic rates
• Asymptotic and non asymptotic approximations for option valuation
• Expansion formulas for European options in a local volatility model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Pricing inflation-indexed derivatives
• Smart expansion and fast calibration for jump diffusions
• Time dependent Heston model
• Weak approximation of averaged diffusion processes

Cited in

(4)

• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
• Expansion formulas for European quanto options in a local volatility FX-LIBOR model
• ANALYTIC PRICING OF CoCo BONDS
• Expansion formulas for European options in a local volatility model

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