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Pricing options under stochastic volatility: a power series approach

https://doi.org/10.1007/s00780-008-0086-4
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/3-540-28329-3openalex-snapshot
The Malliavin Calculus and Related Topics
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Monte Carlo Methods in Financial Engineering
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Probability and its applications
inferredcites →https://doi.org/10.1007/978-1-84628-696-4_13openalex-snapshot
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1007/978-3-662-10061-5openalex-snapshot
Stochastic Integration and Differential Equations
inferredcites →https://doi.org/10.1007/bfb0082920openalex-snapshot
Partial Differential Equations
inferredcites →https://doi.org/10.1007/s00780-006-0013-5openalex-snapshot
A generalization of the Hull and White formula with applications to option pricing approximation
inferredcites →https://doi.org/10.1007/s00780-007-0049-1openalex-snapshot
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
inferredcites →https://doi.org/10.1016/0304-4076(90)90100-8openalex-snapshot
Pricing foreign currency options with stochastic volatility
inferredcites →https://doi.org/10.1016/s0169-7161(96)14007-4openalex-snapshot
5 Stochastic volatility
inferredcites →https://doi.org/10.1023/a:1009803506170openalex-snapshot
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/rfs/4.4.727openalex-snapshot
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-snapshot
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1111/1467-9965.00020openalex-snapshot
Stochastic Volatility for Lévy Processes
inferredcites →https://doi.org/10.1111/1467-9965.00039openalex-snapshot
Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
inferredcites →https://doi.org/10.1111/j.1467-9965.1996.tb00117.xopenalex-snapshot
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
inferredcites →https://doi.org/10.1111/j.1467-9965.2006.00302.xopenalex-snapshot
EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1112/plms/s2-17.1.75openalex-snapshot
Asymptotic Formulaae in Combinatory Analysis
inferredcites →https://doi.org/10.1112/s0024609396331676openalex-snapshot
THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)
inferredcites →https://doi.org/10.1137/s0036139902401550openalex-snapshot
Singular Perturbations in Option Pricing
inferredcites →https://doi.org/10.1214/aoap/1060202833openalex-snapshot
Affine processes and applications in finance
inferredcites →https://doi.org/10.1239/jap/1091543416openalex-snapshot
On the martingale property of stochastic exponentials
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-snapshot
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.2139/ssrn.100831openalex-snapshot
Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension
inferredcites →https://doi.org/10.2307/2289894openalex-snapshot
Brownian Motion and Stochastic Calculus.
inferredcites →https://doi.org/10.2307/2331111openalex-snapshot
Stochastic Volatility Option Pricing

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Smart Expansion and Fast Calibration for Jump Diffusion
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Closed Forms for European Options in a Local Volatility Model
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Analytical Approximation of the Transition Density in a Local Volatility Model
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Local Stochastic Volatility with Jumps
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A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model
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A Journey into the Dark Arts of Quantitative Finance
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Approximate XVA for European Claims
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Hedging in Lévy models and the time step equivalent of jumps
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Smart expansion and fast calibration for jump diffusions
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation
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Wrong Way Risk corrections to CVA in CIR reduced-form models
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Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
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Exchange option pricing under stochastic volatility: a correlation expansion
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Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
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Additive Local-stochastic Volatility Model in Equity Market
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The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
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Exchange options and spread options with stochastically correlated underlyings
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Risk adjustments of option prices under time-changed dynamics
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Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
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Time Dependent Heston Model
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EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
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LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
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CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE
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PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED
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ANALYTIC PRICING OF CoCo BONDS
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
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CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS
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On a convergent power series method to price defaultable bonds in a Vasicek-CIR model
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Perturbation Methods in Derivatives Pricing under Stochastic Volatility
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PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL
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Power Series Representations for European Option Prices under Stochastic Volatility Models
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Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results
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