A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

DOI10.1007/S11579-020-00281-YzbMATH Open1460.91269OpenAlexW3094105199MaRDI QIDQ829337FDOQ829337

Wen-Ting Chen, Xin-Jiang He

Publication date: 5 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00281-y

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zbMATH Keywords

European optionsrisk managementstochastic volatilityclosed-formempirical studiesstochastic long-term mean

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

Cited In (20)

• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
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• Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
• Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
• A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
• A closed-form approximation formula for pricing European options under a three-factor model
• Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
• A bond pricing model with credit migration risk: different upgrade and downgrade thresholds
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
• Computation of powered option prices under a general model for underlying asset dynamics
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
• Calibration of the temporally varying volatility and interest rate functions
• Heston-GA hybrid option pricing model based on ResNet50
• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• High-order methods for the option pricing under multivariate rough volatility models
• Analytically pricing European options with a two-factor Stein-Stein model

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