Solvable local and stochastic volatility models: supersymmetric methods in option pricing

DOI10.1080/14697680601103045zbMath1151.91514arXivcond-mat/0511028MaRDI QIDQ5433098

Pierre Henry-Labordère

Publication date: 19 December 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0511028

zbMATH Keywords

differential geometry; supersymmetry; solvable diffusion process

Mathematics Subject Classification ID

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

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Cites Work

• A Theory of the Term Structure of Interest Rates
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities