Exponentiation of conditional expectations under stochastic volatility

DOI10.1080/14697688.2019.1642506MaRDI QIDQ5215433zbMATH OpenOpenAlexWikidataFDO

Authors Jim Gatheral, Radoš Radoičić, Elisa Alòs

Publication date 10 February 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1642506

zbMATH Keywords

conditional expectationsexponentiationrough volatilitystochastic volatility

Mathematics Subject Classification ID

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

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Cites work

• A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• A generalization of the Hull and White formula with applications to option pricing approximation
• Affine forward variance models
• From characteristic functions to implied volatility expansions
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Large deviations and asymptotic methods in finance
• Perfect hedging in rough Heston models
• Pricing under rough volatility
• Rational approximation of the rough Heston solution
• Skew and implied leverage effect: smile dynamics revisited
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• The characteristic function of rough Heston models
• The normalizing transformation of the implied volatility smile
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

Cited in

(16)

• Realized cumulants for martingales
• Forests, cumulants, martingales
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing
• Moment explosions in the rough Heston model
• CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
• Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
• Rational approximation of the rough Heston solution
• Unified signature cumulants and generalized Magnus expansions
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• Log-normal stochastic volatility model with quadratic drift
• The rough Hawkes Heston stochastic volatility model
• Holomorphic jump-diffusions
• Watanabe's expansion: a solution for the convexity conundrum
• Computing the SSR
• Signature SDEs from an affine and polynomial perspective

Describes a project that uses

Uses Software

• Mathematica

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