The closed-form option pricing formulas under the sub-fractional Poisson volatility models

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2021.111012 ◽

2021 ◽

Vol 148 ◽

pp. 111012

Author(s):

XiaoTian Wang ◽

ZiJian Yang ◽

PiYao Cao ◽

ShiLin Wang

Keyword(s):

Option Pricing ◽

Closed Form ◽

Volatility Models

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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

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A General Closed-Form Spread Option Pricing Formula

SSRN Electronic Journal ◽

10.2139/ssrn.2133923 ◽

2013 ◽

Author(s):

Ruggero Caldana ◽

Gianluca Fusai

Keyword(s):

Option Pricing ◽

Closed Form ◽

Spread Option ◽

Pricing Formula

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A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1123505 ◽

2010 ◽

Author(s):

Junye Li ◽

Carlo A. Favero ◽

Fulvio Ortu

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Spectral Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

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Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility

Stochastics ◽

10.1080/17442508.2021.1993445 ◽

2021 ◽

pp. 1-44

Author(s):

Kaustav Das ◽

Nicolas Langrené

Keyword(s):

Option Pricing ◽

Closed Form ◽

Stochastic Volatility

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Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

SIAM Journal on Financial Mathematics ◽

10.1137/110848682 ◽

2014 ◽

Vol 5 (1) ◽

pp. 729-752 ◽

Author(s):

S. M. Ould Aly

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113901 ◽

2021 ◽

pp. 113901

Author(s):

Jingtang Ma ◽

Wensheng Yang ◽

Zhenyu Cui

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Convergence Analysis ◽

Continuous Time ◽

Continuous Time Markov Chain ◽

Local Volatility ◽

Markov Chain Approximation ◽

Volatility Models ◽

Chain Approximation ◽

Stochastic Local Volatility

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An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

SSRN Electronic Journal ◽

10.2139/ssrn.967755 ◽

2007 ◽

Author(s):

Guillaume Bagnarosa ◽

Charles J. Corrado ◽

Emmanuel Jurczenko ◽

Bertrand B. Maillet

Keyword(s):

Option Pricing ◽

Closed Form ◽

Padé Approximants ◽

Higher Order ◽

Higher Order Moments ◽

Pade Approximants ◽

Pricing Formula

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

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An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padd Approximants

SSRN Electronic Journal ◽

10.2139/ssrn.3175761 ◽

2007 ◽

Author(s):

Guillaume Bagnarosa ◽

Charles J. Corrado ◽

Emmanuel Jurczenko ◽

Bertrand B. Maillet

Keyword(s):

Option Pricing ◽

Closed Form ◽

Higher Order ◽

Higher Order Moments ◽

Padd Approximants ◽

Pricing Formula

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Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2511422 ◽

1998 ◽

Author(s):

Steven L. Heston ◽

Saikat Nandi

Keyword(s):

Option Pricing ◽

Closed Form ◽

Path Dependent ◽

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