APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH

DOI10.1017/S0269964815000182zbMath1414.91361MaRDI QIDQ5358059

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Publication date: 19 September 2017

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

zbMATH Keywords

stochastic volatility modelsclosed-form expansionlocal volatility functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A novel Monte Carlo approach to hybrid local volatility models ⋮ Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure

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