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Option pricing via maximization over uncertainty and correction of volatility smile

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524

Persistent link: https://www.econbiz.de/10009269369

Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios

Bueno-Guerrero, Alberto - 2017

We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...

Persistent link: https://www.econbiz.de/10012960764

The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10012549093

Uncertain Volatility Model : A Monte-Carlo Approach

Guyon, Julien - 2010

The uncertain volatility model has long ago attracted the attention of practitioners as it provides worst-case pricing …

Persistent link: https://www.econbiz.de/10013148754

Risk Managing Long-Dated Smile Risk with SABR Formula

Moni, Claudio - 2014

used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to …

Persistent link: https://www.econbiz.de/10013062318

Approximation method using black-scholes formula for barrier option pricing under Lévy models

Li, Yuan; Miyachi, Kaimon; Shiraya, Kenichiro; … - 2021 - This version : June 7, 2021

Persistent link: https://www.econbiz.de/10012807890

The heat-kernel most-likely-path approximation

Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009541999

Collocating volatility : a competitive alternative to stochastic local volatility models

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42

Persistent link: https://www.econbiz.de/10012496758

Static hedges of barrier options under fast mean-reverting stochastic volatility

Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210

Persistent link: https://www.econbiz.de/10012222596

On the Heston model with stochastic volatility : analytic solutions and complete markets

Alziary, Bénédicte; Takáč, Peter - 2017

Persistent link: https://www.econbiz.de/10012265761