Local Stochastic Volatility with Jumps : Analytical Approximations

We present new approximation formulas for local stochastic volatility models, possibly including Lévy jumps. Our main result is an expansion of the characteristic function which is worked out in the Fourier space. Combined with standard Fourier methods, our result provides efficient and accurate formulas for the prices and the Greeks of plain vanilla options. We finally provide numerical results to illustrate the accuracy with real market data

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Year of publication:	2016
Authors:	Pagliarani, Stefano ; Pascucci, Andrea
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (38 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Int. J. Theor. Appl. Finan. 16, 1350050, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2013 erstellt
Other identifiers:	10.2139/ssrn.2077394 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014169053