TARGET VOLATILITY OPTION PRICING

DOI10.1142/S0219024911006474MaRDI QIDQ5389102zbMATH OpenFDO

Authors Giuseppe Di-Graziano, Lorenzo Torricelli

Publication date 24 April 2012

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

Full work available at URL https://doi.org/10.1142/S0219024911006474

zbMATH Keywords

black and Scholesquadratic variationrobust hedgingtarget volatilityTaylor expansionvolatility derivatives

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 2221215
• Pricing vulnerable options with stochastic volatility

Cites work

• Ergodic Property of the Brownian Motion Process
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Valuation of volatility derivatives as an inverse problem

Cited in

(11)

• Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• Catastrophe equity put options with target variance
• Pricing vulnerable fader options under stochastic volatility models
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
• Variance-optimal hedging for target volatility options
• Volatility targeting using delayed diffusions
• Pricing joint claims on an asset and its realized variance in stochastic volatility models
• A stochastic local volatility technique for TARN options
• Target volatility option pricing in the lognormal fractional SABR model
• On Carr and Lee's correlation immunization strategy

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