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Pricing options under stochastic volatility: a power series approach

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Author Info

  • Fabio Antonelli

    ()

  • Sergio Scarlatti

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-008-0086-4
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 2 (April)
    Pages: 269-303

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    Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:269-303

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Options; Stochastic volatility; SDEs; PDEs; Duhamel’s principle; 60H10; 91B24; C02; G13;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Y. Maghsoodi, 2007. "Exact Solution Of A Martingale Stochastic Volatility Option Problem And Its Empirical Evaluation," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 249-265.
    2. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 589-607, December.
    3. Eric Renault & Nizar Touzi, 1996. "Option Hedging And Implied Volatilities In A Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 279-302.
    4. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-52.
    5. Elisa Alòs, 2006. "A generalization of the Hull and White formula with applications to option pricing approximation," Finance and Stochastics, Springer, vol. 10(3), pages 353-365, September.
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    Cited by:
    1. Ale\v{s} \v{C}ern\'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy models and the time step equivalent of jumps," Papers 1309.7833, arXiv.org, revised Nov 2013.
    2. Elisa Alòs & Rafael De Santiago & Josep Vives, 2012. "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers 1346, Department of Economics and Business, Universitat Pompeu Fabra.
    3. F. Antonelli & A. Ramponi & S. Scarlatti, 2010. "Exchange option pricing under stochastic volatility: a correlation expansion," Review of Derivatives Research, Springer, vol. 13(1), pages 45-73, April.
    4. Elisa Alòs, 2009. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Economics Working Papers 1188, Department of Economics and Business, Universitat Pompeu Fabra.
    5. Elisa Alòs, 2012. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, vol. 16(3), pages 403-422, July.
    6. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.

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