Option pricing under hybrid stochastic and local volatility

DOI10.1080/14697688.2013.780209MaRDI QIDQ5397448zbMATH OpenOpenAlexFDO

Authors Sun-Yong Choi, Jean-Pierre Fouque, Jeong-Hoon Kim

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.780209

zbMATH Keywords

error estimatestochastic volatilityconstant elasticity of varianceoption pricing modelasymptotic option pricingCEV formula

Mathematics Subject Classification ID

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

Cites work

• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• Asymptotic theory of noncentered mixing stochastic differential equations
• Frequency Content of Randomly Scattered Signals
• Large-time asymptotics for an uncorrelated stochastic volatility model
• Lookback options and diffusion hitting times: a spectral expansion approach
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Moment explosions in stochastic volatility models
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Singular Perturbations in Option Pricing
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(23)

• Turbo warrants under hybrid stochastic and local volatility
• Multifactor Heston's stochastic volatility model for European option pricing
• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
• Foreign exchange rate volatility smiles and smirks
• New approach and analysis of the generalized constant elasticity of variance model
• Pricing variance swaps under hybrid CEV and stochastic volatility
• A general valuation framework for SABR and stochastic local volatility models
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing American lookback options under a stochastic volatility model
• Fractional stochastic volatility correction to CEV implied volatility
• How should a local regime-switching model be calibrated?
• Equity-linked annuities with multiscale hybrid stochastic and local volatility
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
• A stochastic-local volatility model with Lévy jumps for pricing derivatives
• Investment timing under hybrid stochastic and local volatility
• Monte Carlo calibration to implied volatility surface under volatility models
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
• Portfolio optimization for pension plans under hybrid stochastic and local volatility.
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods
• Pricing turbo warrants under stochastic elasticity of variance
• Robust portfolio optimization under hybrid CEV and stochastic volatility
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

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