Revisiting linear and lognormal stochastic volatility models

DOI10.4064/BC122-10MaRDI QIDQ4989150zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• A simple proof of the martingale property in a semi-log-normal stochastic volatility model
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
• Analytically tractable stochastic stock price models.
• Another look at the Hartman-Watson distributions
• Complications with stochastic volatility models
• Correlations and bounds for stochastic volatility models
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Pricing and Hedging Spread Options
• The Hartman-Watson distribution revisited: asymptotics for pricing Asian options

Cited in

(9)

• Log-Modulated Rough Stochastic Volatility Models
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Recovery of volatility coefficient by linearization
• Stochastic volatility effects on correlated log-normal random variables
• Why are quadratic normal volatility models analytically tractable?
• From rough to multifractal volatility: the log S-fBm model
• Log-normal stochastic volatility model with quadratic drift
• On dependence of volatility on return for stochastic volatility models
• A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH

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