A closed-form approximation formula for pricing European options under a three-factor model

DOI10.1017/S0269964821000322MaRDI QIDQ5051203zbMATH OpenOpenAlexFDO

Authors Hye-Mee Kil, Jeong-Hoon Kim

Publication date 22 November 2022

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964821000322

zbMATH Keywords

calibrationdouble-mean-reverting modelEuropean optionimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Closed-form formulae for European options under three-factor models
• A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• A closed-form pricing formula for european exchange options with stochastic volatility
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• A semi-analytical pricing formula for European options under the rough Heston-CIR model
• scientific article; zbMATH DE number 6949560
• European option pricing formula in risk-aversive markets

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A scaled version of the double-mean-reverting model for VIX derivatives
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Fast Ninomiya-Victoir calibration of the double-mean-reverting model
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(4)

• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Closed-form formulae for European options under three-factor models
• Fast Ninomiya-Victoir calibration of the double-mean-reverting model
• Valuation of American put options under a modified 4/2 stochastic volatility model

This page was built for publication: A closed-form approximation formula for pricing European options under a three-factor model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5051203)