New solvable stochastic volatility models for pricing volatility derivatives
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DOI: 10.1007/s11147-012-9082-0
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- Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550, arXiv.org, revised Jun 2012.
References listed on IDEAS
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Cited by:
- Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
- Wendong Zheng & Pingping Zeng, 2015. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Papers 1504.08136, arXiv.org.
- Andrey Itkin, 2017.
"Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(6), pages 485-519, November.
- Andrey Itkin, 2017. "Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Papers 1701.02821, arXiv.org, revised Jan 2017.
- Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
- Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
- Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
- Chi Hung Yuen & Wendong Zheng & Yue Kuen Kwok, 2015. "Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(5), pages 421-449, November.
- Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model," Post-Print hal-02909113, HAL.
- Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
- Craddock, Mark & Grasselli, Martino, 2020. "Lie symmetry methods for local volatility models," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3802-3841.
- Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
- Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
- Da Fonseca, José & Martini, Claude, 2016. "The α-hypergeometric stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1472-1502.
- Jos'e Da Fonseca & Claude Martini, 2014. "The $\alpha$-Hypergeometric Stochastic Volatility Model," Papers 1409.5142, arXiv.org.
- Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
- Wendong Zheng & Pingping Zeng, 2016. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 344-373, September.
- Mark Craddock & Martino Grasselli, 2016. "Lie Symmetry Methods for Local Volatility Models," Research Paper Series 377, Quantitative Finance Research Centre, University of Technology, Sydney.
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More about this item
Keywords
Volatility derivatives; Variance swap; Options; Stochastic volatility model; Lie symmetry; Closed-form solution; Pricing; C02; C65; G12;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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