A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
From MaRDI portal
Publication:829337
DOI10.1007/s11579-020-00281-yzbMath1460.91269MaRDI QIDQ829337
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
stochastic volatility; risk management; European options; closed-form; empirical studies; stochastic long-term mean
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Calibration of the temporally varying volatility and interest rate functions, VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL, Analytically pricing European options with a two-factor Stein-Stein model, A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation, High-order methods for the option pricing under multivariate rough volatility models, Credit default swap pricing with counterparty risk in a reduced form model with a common jump process, A bond pricing model with credit migration risk: different upgrade and downgrade thresholds, High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU, Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks, Computation of powered option prices under a general model for underlying asset dynamics, Heston-GA hybrid option pricing model based on ResNet50, A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching, Basket credit default swap pricing with two defaultable counterparties, Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets, Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance, Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
Cites Work
- Unnamed Item
- Optimization by Simulated Annealing
- The Pricing of Options and Corporate Liabilities
- An explicitly solvable Heston model with stochastic interest rate
- Stochastic global optimization and its applications with fuzzy adaptive simulated annealing
- Adaptive simulated annealing for optimization in signal processing applications
- Exact and approximate solutions for options with time-dependent stochastic volatility
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- Full and fast calibration of the Heston stochastic volatility model
- Very fast simulated re-annealing
- The parabolic differential equations and the associated semigroups of transformation
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- A Theory of the Term Structure of Interest Rates
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Time Dependent Heston Model
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- Options on realized variance by transform methods: a non-affine stochastic volatility model
