Stock price distributions with stochastic volatility: an analytic approach

DOI10.1093/RFS/4.4.727zbMATH Open1458.62253OpenAlexW2094206697MaRDI QIDQ5374083FDOQ5374083

Authors: Jeremy C. Stein, Elias M. Stein 

Publication date: 6 April 2018

Published in: Review of Financial Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rfs/4.4.727

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cited In (only showing first 100 items - show all)

• Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
• On the martingale property of stochastic exponentials
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• Optimal reinsurance and investment problem for an insurer with counterparty risk
• Delay geometric Brownian motion in financial option valuation
• The \(\alpha\)-hypergeometric stochastic volatility model
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Strategic investment decisions under fast mean-reversion stochastic volatility
• Small dimension PDE for discrete Asian options
• Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
• Augmented GARCH\((p,q)\) process and its diffusion limit
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Analytically tractable stochastic stock price models.
• Exchange option pricing under stochastic volatility: a correlation expansion
• Likelihood-based inference for a class of multivariate diffusions with unobserved paths
• A class of nonlinear stochastic volatility models and its implications for pricing currency options
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Realistic Statistical Modelling of Financial Data
• American option valuation in a stochastic volatility model with transaction costs
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Stochastic volatility, smile & asymptotics
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• Pricing American continuous-installment options under stochastic volatility model
• Stochastic volatility models and the pricing of VIX options
• A generalization of the Hull and White formula with applications to option pricing approximation
• Affine processes and applications in finance
• A flexible particle Markov chain Monte Carlo method
• A simple model for option pricing with jumping stochastic volatility
• Goodness-of-fit test for stochastic volatility models
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Pricing and hedging long-term options
• Test for dispersion constancy in stochastic differential equation models
• MEAN-REVERTING STOCHASTIC VOLATILITY
• American stochastic volatility call option pricing: a lattice based approach
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• American option pricing under stochastic volatility: an empirical evaluation
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters
• Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
• Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
• Application of flocking mechanism to the modeling of stochastic volatility
• Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
• Valuation of power options under Heston's stochastic volatility model
• The implication of missing the optimal-exercise time of an American option
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• Complex logarithms in Heston-like models
• Extension of stochastic volatility equity models with the Hull-White interest rate process
• On the valuation of variance swaps with stochastic volatility
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• A closed-form solution for options with ambiguity about stochastic volatility
• American options with stochastic dividends and volatility: a nonparametric investigation
• An explicitly solvable Heston model with stochastic interest rate
• On calibration of stochastic and fractional stochastic volatility models
• Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
• Empirical option pricing: A retrospection
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
• GARCH option pricing: A semiparametric approach
• On mean exit time from a curvilinear domain
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
• On changes of measure in stochastic volatility models
• Recursive estimation for continuous time stochastic volatility models
• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
• Exact pricing with stochastic volatility and jumps
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• A spectral element approximation to price European options with one asset and stochastic volatility
• The estimation of leverage effect with high-frequency data
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• On dependence of volatility on return for stochastic volatility models
• An empirical comparison of two stochastic volatility models using Indian market data
• THE GARCH OPTION PRICING MODEL
• An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
• BSDEs driven by time-changed Lévy noises and optimal control
• Options markets, self-fulfilling prophecies, and implied volatilities
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• Spectral GMM estimation of continuous-time processes
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Efficient, almost exact simulation of the Heston stochastic volatility model
• A generalized Fourier transform approach to risk measures
• A lattice model for option pricing under GARCH-jump processes
• An extension of Heston's SV model to stochastic interest rates
• Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
• Online estimation of time-varying volatility using a continuous-discrete LMS algorithm
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing
• On the variance of stock price distributions
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
• On the multi-dimensional portfolio optimization with stochastic volatility
• Dupire-like identities for complex options
• Asymptotic behaviour of randomised fractional volatility models
• Computation of the Delta of European options under stochastic volatility models
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• Roles of capital flow on the stability of a market system
• Option pricing and perfect hedging on correlated stocks
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

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