Effective stochastic volatility: applications to ZABR-type models

DOI10.1080/14697688.2020.1814396zbMath1479.91395OpenAlexW3093796783MaRDI QIDQ5014218

Thomas Andrew McWalter, M. Felpel, J. Kienitz

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814396

zbMATH Keywords

stochastic volatilityapproximation formulaSABReffective PDEfree boundary ZABRmean-reverting ZABRZABR

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
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