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

DOI10.1016/J.AML.2015.09.008zbMATH Open1390.91307OpenAlexW1756820085MaRDI QIDQ899403FDOQ899403

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)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• The \(\alpha\)-hypergeometric stochastic volatility model
• Martingales versus PDEs in finance: an equivalence result with examples
• Riding on the smiles
• Analysis, Geometry, and Modeling in Finance
• Option prices under stochastic volatility
• Option price with stochastic volatility for both fast and slow mean-reverting regimes
• Option pricing under stochastic interest rates: an empirical investigation

Cited In (4)

• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model
• $\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
• Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption

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