Hyperbolic normal stochastic volatility model
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.21967
Download full text from publisher
Other versions of this item:
- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
References listed on IDEAS
- Kon, Stanley J, 1984. "Models of Stock Returns-A Comparison," Journal of Finance, American Finance Association, vol. 39(1), pages 147-165, March.
- Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
- Bin Chen & Cornelis W. Oosterlee & Hans Van Der Weide, 2012. "A Low-Bias Simulation Scheme For The Sabr Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-37.
- Canan G. Corlu & Alper Corlu, 2015. "Modelling exchange rate returns: which flexible distribution to use?," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1851-1864, November.
- Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.
- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Patrick Hagan & Diana Woodward, 1999. "Equivalent Black volatilities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 147-157.
- Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2016. "Estimation of dynamic VaR using JSU and PIV distributions," Risk Management, Palgrave Macmillan, vol. 18(2), pages 111-134, August.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2017.
"Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models,"
Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 926-960, July.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
- Walter Schachermayer & Josef Teichmann, 2008. "How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 155-170, January.
- Joanne E. Kennedy & Subhankar Mitra & Duy Pham, 2012. "On the Approximation of the SABR Model: A Probabilistic Approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 553-586, December.
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
- Badrinath, S G & Chatterjee, Sangit, 1988. "On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index," The Journal of Business, University of Chicago Press, vol. 61(4), pages 451-472, October.
- Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
- repec:bla:jfinan:v:44:y:1989:i:1:p:211-19 is not listed on IDEAS
- Geoffrey Poitras, 1998. "Spread options, exchange options, and arithmetic Brownian motion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(5), pages 487-517, August.
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
- Jen S. Shang & Pandu R. Tadikamalla, 2004. "Modeling Financial Series Distributions: A Versatile Data Fitting Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 231-251.
- Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
- Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
- Choi, Jaehyuk & Wu, Lixin, 2021.
"The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
- Jaehyuk Choi, 2024. "Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions," Papers 2402.09243, arXiv.org.
- Jaehyuk Choi & Lixin Wu, 2021.
"A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(7), pages 1083-1086, July.
- Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
- Jaehyuk Choi & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
- Jaehyuk Choi & Lilian Hu & Yue Kuen Kwok, 2024. "Efficient simulation of the SABR model," Papers 2408.01898, arXiv.org.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
- Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
- Matta Uma Maheswara Reddy, 2019. "Option pricing under normal dynamics with stochastic volatility," Papers 1909.08047, arXiv.org, revised Oct 2019.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working Papers
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il, 2019. "Solution of option pricing equations using orthogonal polynomial expansion," Papers 1912.06533, arXiv.org, revised Jun 2020.
- Minqiang Li, 2015.
"Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 582-595, June.
- Li, Minqiang, 2014. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper 54595, University Library of Munich, Germany.
- Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
- Gilles Daniel & Nathan Joseph & David Bree, 2005. "Stochastic volatility and the goodness-of-fit of the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 199-211.
- R. Merino & J. Pospíšil & T. Sobotka & J. Vives, 2018. "Decomposition Formula For Jump Diffusion Models," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
- Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Josep Vives, 2019. "Decomposition formula for jump diffusion models," Papers 1906.06930, arXiv.org.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
- 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.
- Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
- Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
- Alexander Lipton & Artur Sepp, 2022. "Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility," Papers 2202.07849, 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:39:y:2019:i:2:p:186-204. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.