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Option pricing under hybrid stochastic and local volatility

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  • SUN-YONG CHOI
  • JEAN-PIERRE FOUQUE
  • JEONG-HOON KIM

Abstract

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Suggested Citation

  • Sun-Yong Choi & Jean-Pierre Fouque & Jeong-Hoon Kim, 2013. "Option pricing under hybrid stochastic and local volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1157-1165, July.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:8:p:1157-1165
    DOI: 10.1080/14697688.2013.780209
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    Citations

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    Cited by:

    1. Marcos Escobar-Anel & Weili Fan, 2023. "The SEV-SV Model—Applications in Portfolio Optimization," Risks, MDPI, vol. 11(2), pages 1-34, January.
    2. Kim, Hyun-Gyoon & Kim, Jeong-Hoon, 2023. "A stochastic-local volatility model with Le´vy jumps for pricing derivatives," Applied Mathematics and Computation, Elsevier, vol. 451(C).
    3. He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
    4. Kim, Donghyun & Choi, Sun-Yong & Yoon, Ji-Hun, 2021. "Pricing of vulnerable options under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    5. Jiling Cao & Xi Li & Wenjun Zhang, 2023. "Pricing Path-Dependent Options under Stochastic Volatility via Mellin Transform," JRFM, MDPI, vol. 16(10), pages 1-17, October.
    6. Shuang Xiao & Guo Li & Yunjing Jia, 2017. "Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(01), pages 1-23, February.
    7. Stefano Pagliarani & Andrea Pascucci, 2013. "Local Stochastic Volatility With Jumps: Analytical Approximations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-35.
    8. El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2022. "Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset," Finance Research Letters, Elsevier, vol. 44(C).
    9. El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
    10. Kim, Jeong-Hoon & Lee, Min-Ku & Sohn, So Young, 2014. "Investment timing under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 58-72.
    11. Yoon, Ji-Hun & Park, Chang-Rae, 2016. "Pricing turbo warrants under stochastic elasticity of variance," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 107-118.
    12. Cao, Jiling & Kim, Jeong-Hoon & Li, Xi & Zhang, Wenjun, 2023. "Valuation of barrier and lookback options under hybrid CEV and stochastic volatility," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 660-676.

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