Option pricing under hybrid stochastic and local volatility

DOI10.1080/14697688.2013.780209zbMATH Open1281.91155OpenAlexW2037701228MaRDI QIDQ5397448FDOQ5397448

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

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

Cited In (23)

• Turbo warrants under hybrid stochastic and local volatility
• Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods
• Multifactor Heston's stochastic volatility model for European option pricing
• Foreign exchange rate volatility smiles and smirks
• New approach and analysis of the generalized constant elasticity of variance model
• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
• Pricing variance swaps under hybrid CEV and stochastic volatility
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Fractional stochastic volatility correction to CEV implied volatility
• How should a local regime-switching model be calibrated?
• Title not available (Why is that?)
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
• Equity-linked annuities with multiscale hybrid stochastic and local volatility
• 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
• A General Valuation Framework for SABR and Stochastic Local Volatility Models
• Portfolio optimization for pension plans under hybrid stochastic and local volatility.
• Pricing turbo warrants under stochastic elasticity of variance
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
• Title not available (Why is that?)

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