Replication scheme for the pricing of European options

DOI10.1142/S021902492150014XMaRDI QIDQ5010065zbMATH OpenOpenAlexFDO

Authors Hideharu Funahashi

Publication date 24 August 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902492150014x

zbMATH Keywords

calibrationchaos expansiondensity matchingfractional volatility modellocal volatility modelstochastic volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A chaos expansion approach under hybrid volatility models
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• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• An asymptotic expansion approach to pricing financial contingent claims
• Asymptotics of Forward Implied Volatility
• Does the Hurst index matter for option prices under fractional volatility?
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• Interest rate models -- theory and practice. With smile, inflation and credit
• Long memory in continuous-time stochastic volatility models
• MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
• Markovian projection onto a Heston model
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Multiple Wiener integral
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• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
• Short-time at-the-money skew and rough fractional volatility
• Singular Perturbations in Option Pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• The pricing of options and corporate liabilities
• Volatility is rough

Cited in

(4)

• Computational methods for option replication
• A functional analysis approach to the static replication of European options
• A recursive method for static replication of autocallable structured products
• Deep learning for derivatives pricing: a comparative study of asymptotic and quasi-process corrections

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