Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

DOI10.1016/J.AML.2015.09.008MaRDI QIDQ899403zbMATH OpenOpenAlexFDO

Authors Nicolas Privault, Qihao She

Publication date 28 December 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2015.09.008

zbMATH Keywords

stochastic volatilityimplied volatilityseries expansions2-hypergeometric model

Mathematics Subject Classification ID

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

Recommendations

• Option prices under stochastic volatility
• General approximation schemes for option prices in stochastic volatility models
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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Analysis, Geometry, and Modeling in Finance
• Martingales versus PDEs in finance: an equivalence result with examples
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option price with stochastic volatility for both fast and slow mean-reverting regimes
• Option prices under stochastic volatility
• Option pricing under stochastic interest rates: an empirical investigation
• Riding on the smiles
• The -hypergeometric stochastic volatility model

Cited in

(9)

• \(\alpha\)-hypergeometric uncertain volatility models and their connection to 2BSDEs
• The -hypergeometric stochastic volatility model
• General approximation schemes for option prices in stochastic volatility models
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Option prices under stochastic volatility
• Option pricing when correlations are stochastic: an analytical framework
• Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption
• Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model
• Closed-form implied volatility surfaces for stochastic volatility models with jumps

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