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Pricing options under stochastic volatility: a power series approach [推广有奖]

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Antonelli, Fabio - Scarlatti, Sergio
publication
Finance and Stochastics
ISSN
0949-2984 electronic: 1432-1122
publisher
Springer Healthcare Communications
year - volume - issue - page
2009 - 13 - 2 - 269
Pages
269
access
full text
abstract
In this paper we present a new approach for solving the pricing equations (PDEs) of European call options for very general stochastic volatility models, including the Stein and Stein, the Hull and White, and the Heston models as particular cases. The main idea is to express the price in terms of a power series of the correlation parameter between the processes driving the dynamics of the price and of the volatility. The expansion is done around correlation zero and each term is identified via a probabilistic expression. It is shown that the power series converges with positive radius under some regularity conditions. Besides, we propose (as in Alós in Finance Stoch. 10:353–365, 2006) a further approximation to make the terms of the series easily computable and we estimate the error we commit. Finally we apply our methodology to some well-known financial models.
keyword(s)
Options, Stochastic volatility, SDEs, PDEs, Duhamel’s principle,
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关键词:Volatility Stochastic Approach Stochast options options Pricing Stochastic Volatility

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Windwill 发表于 2009-7-2 09:20:06 |只看作者 |坛友微信交流群
so expensive and just a 35-page paper. I feel cheated

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caseyliu 发表于 2015-1-23 23:27:27 |只看作者 |坛友微信交流群
so expensive and just a 35-page paper. I feel cheated

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