Revisiting linear and lognormal stochastic volatility models

DOI10.4064/bc122-10zbMath1460.91270OpenAlexW3132378435MaRDI QIDQ4989150

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 20 May 2021

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/bc122-10

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Analytically tractable stochastic stock price models.
• Correlations and bounds for stochastic volatility models
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Another look at the Hartman-Watson distributions
• The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
• A simple proof of the martingale property in a semi-log-normal stochastic volatility model
• Complications with stochastic volatility models
• Pricing and Hedging Spread Options
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
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