New solvable stochastic volatility models for pricing volatility derivatives

DOI10.1007/s11147-012-9082-0zbMath1296.91263arXiv1205.3550OpenAlexW2168907566MaRDI QIDQ744402

Andrey Itkin

Publication date: 25 September 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3550

zbMATH Keywords

optionsclosed-form solutionpricingLie symmetryvolatility derivativesstochastic volatility modelvariance swap

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Lie symmetry methods for local volatility models ⋮ HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition ⋮ Optimal investment and reinsurance strategies under 4/2 stochastic volatility model ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ Stochastic elasticity of vol-of-vol and pricing of variance swaps ⋮ Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models ⋮ LSV models with stochastic interest rates and correlated jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A jump to default extended CEV model: an application of Bessel processes
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Lie group symmetries as integral transforms of fundamental solutions
• Fundamental solutions, transition densities and the integration of Lie symmetries
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Spectral GMM estimation of continuous-time processes
• A new approach for option pricing under stochastic volatility
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Moment swaps
• Analysis, Geometry, and Modeling in Finance
• Fractional Derivatives and Special Functions
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case

This page was built for publication: New solvable stochastic volatility models for pricing volatility derivatives