A General Decomposition Formula for Derivative Prices in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.428081 ◽

2003 ◽

Author(s):

Elisa Alos

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Decomposition Formula

Download Full-text

A Generic Decomposition Formula for Pricing Vanilla Options Under Stochastic Volatility Models

Trends in Mathematics - Extended Abstracts Summer 2015 ◽

10.1007/978-3-319-51753-7_20 ◽

2017 ◽

pp. 121-125

Author(s):

Raúl Merino ◽

Josep Vives

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Decomposition Formula

Download Full-text

Decomposition Formula for Rough Volterra Stochastic Volatility Models

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024921500084 ◽

2021 ◽

Author(s):

Raul Merino ◽

Jan Pospisil ◽

Tomas Sobotka ◽

Tommi Sottinen ◽

Josep Vives

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Decomposition Formula

Download Full-text

An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

Download Full-text

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

Download Full-text

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

Download Full-text

Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2720927 ◽

2016 ◽

Author(s):

Joss Da Fonseca

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text