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Pricing options under stochastic volatility: a power series approach


  • Fabio Antonelli


  • Sergio Scarlatti



No abstract is available for this item.

Suggested Citation

  • Fabio Antonelli & Sergio Scarlatti, 2009. "Pricing options under stochastic volatility: a power series approach," Finance and Stochastics, Springer, vol. 13(2), pages 269-303, April.
  • Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:269-303
    DOI: 10.1007/s00780-008-0086-4

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    References listed on IDEAS

    1. 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 727-752.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
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    Cited by:

    1. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
    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. repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500340 is not listed on IDEAS
    4. Alev{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,, revised Jul 2017.
    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. E. Nicolato & D. Sloth, 2014. "Risk adjustments of option prices under time-changed dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 125-141, January.
    7. Maren Diane Schmeck, 2016. "Pricing Options On Forwards In Energy Markets: The Role Of Mean Reversion'S Speed," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-26, December.
    8. Elisa Alòs & Thorsten Rheinländer, 2015. "Pricing and hedging Margrabe options with stochastic volatilities," Economics Working Papers 1475, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2017.
    9. 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.
    10. 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.
    11. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
    12. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.

    More about this item


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

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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