Correlations and bounds for stochastic volatility models

DOI10.1016/J.ANIHPC.2005.05.007zbMATH Open1108.62110OpenAlexW2011569301MaRDI QIDQ877000FDOQ877000

Authors: P.-L. Lions, M. Musiela 

Publication date: 19 April 2007

Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPC_2007__24_1_1_0

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zbMATH Keywords

log-normal like models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx)

Cites Work

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Cited In (53)

• The log‐moment formula for implied volatility
• Log-normal stochastic volatility model with quadratic drift
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• The principle of not feeling the boundary for the SABR model
• Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift
• Variational Analysis for Options with Stochastic Volatility and Multiple Factors
• Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
• The large-maturity smile for the Heston model
• State dependent correlations in the Vasicek default model
• Short-time near-the-money skew in rough fractional volatility models
• Outperforming the market portfolio with a given probability
• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Series expansion of the SABR joint density
• Revisiting linear and lognormal stochastic volatility models
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• On the martingale property in stochastic volatility models based on time-homogeneous diffusions
• Capturing the Correlations of Fixed-income Instruments
• Abelian theorems for stochastic volatility models with application to the estimation of jump activity
• Comparison of stochastic correlation models
• Extreme-strike comparisons and structural bounds for SPX and VIX options
• Dirichlet forms and finite element methods for the SABR model
• Polynomial jump-diffusion models
• Strict local martingales and the Khasminskii test for explosions
• Large deviation principle for Volterra type fractional stochastic volatility models
• An explicitly solvable Heston model with stochastic interest rate
• On moment non-explosions for Wishart-based stochastic volatility models
• On refined volatility smile expansion in the Heston model
• A mean-reverting SDE on correlation matrices
• The Black-Scholes equation in stochastic volatility models
• On small-noise equations with degenerate limiting system arising from volatility models
• Well-posedness and stability analysis of two classes of generalized stochastic volatility models
• On the martingale property in the rough Bergomi model
• Isogeometric analysis in option pricing
• A coupled stochastic differential model in finance under local Lipschitz nonlinearity
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
• An optimal Gauss-Markov approximation for a process with stochastic drift and applications
• A mathematical theory of financial bubbles
• The survival probability of the SABR model: asymptotics and application
• Modelling joint behaviour of asset prices using stochastic correlation
• Precise asymptotics: robust stochastic volatility models
• The lifetime of a financial bubble
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
• A framework for robust measurement of implied correlation
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Optional projection under equivalent local martingale measures
• Asset price bubbles: invariance theorems
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
• Strict local martingales via filtration enlargement
• Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion

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